International market integration and market interdependence: evidence from China's stock market in the post-WTO accession period
He, Hongbo (2012) International market integration and market interdependence: evidence from China's stock market in the post-WTO accession period. PhD thesis, University of Nottingham.
The Chinese government has implemented a series of financial liberalisation policies in stock market after China’s accession into the WTO in 2001. However, it remains somewhat unclear whether and to what extent China’s financial liberalisation has influenced its stock market in the post-WTO accession period. This thesis examines this issue from the perspectives of international market integration and market interdependence. This thesis mainly includes three empirical studies: 1) gauging the degree of market integration by the weak-form measure, 2) measuring the degree of market interdependence by the multi-factor R-squared measure, as well as 3) examining the relationship between these two elements by the MWALD causality test and cointegration analysis.
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