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The effects of domestic and international news and volatility on integration of Chinese stock markets with international stock markets
Date
2016-03-01
Author
ÖZTEK, MEHMET FATİH
Öcal, Nadir
Metadata
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Creative Commons Attribution-NonCommercial-NoDerivatives 4.0 International License
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This paper provides a comprehensive and up-to-date analysis of time-varying return co-movements between Chinese stock markets and stock markets in the USA, UK, France and Japan by employing smooth transition conditional correlation (STCC-GARCH) and double smooth transition conditional correlation (DSTCC-GARCH) models with specific emphasis on the role of domestic and international news and volatility. Unlike earlier literature, we reveal that there are noticeable rising trends in conditional correlations among these markets particularly following the financial reforms in China. Moreover, the empirical results of DSTCC-GARCH specifications with time and various volatility measures generally indicate that the correlations increase, not only over time but also during calm periods, suggesting that Chinese stock markets may be safe harbors during global financial crisis.
URI
https://hdl.handle.net/11511/49328
Journal
EMPIRICAL ECONOMICS
DOI
https://doi.org/10.1007/s00181-015-0943-x
Collections
Department of Economics, Article
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M. F. ÖZTEK and N. Öcal, “The effects of domestic and international news and volatility on integration of Chinese stock markets with international stock markets,”
EMPIRICAL ECONOMICS
, pp. 317–360, 2016, Accessed: 00, 2020. [Online]. Available: https://hdl.handle.net/11511/49328.