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

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This work is licensed under a 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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Citation Formats

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.