Financial liberalisation and international market interdependence: evidence from China’s stock market in the post-WTO accession period

He, Hongbo and Chen, Shou and Yao, Shujie and Ou, Jinghua (2014) Financial liberalisation and international market interdependence: evidence from China’s stock market in the post-WTO accession period. Journal of International Financial Markets, Institutions and Money, 33 . pp. 434-444. ISSN 1042-4431

[img]
Preview
PDF - Requires a PDF viewer such as GSview, Xpdf or Adobe Acrobat Reader
Available under Licence Creative Commons Attribution Non-commercial No Derivatives.
Download (1MB) | Preview

Abstract

This paper studies China’s stock market with respect to financial liberalization and international market interdependence after its accession to the WTO in 2001. Using the multi-factor R-squared measure, we derive a normalized index to measure the impact of financial liberalization policies on stock market interdependence between China and the world. Some of China’s financial liberalization measures, such as QFII and exchange rate reform, are found to have played an important role in increasing market interdependence. After the US credit crunch in 2007 and the world financial crisis in the following years, some anomalies were observed as China’s stock market was more interdependent of the global market than the US stock market in some specific periods. These anomalies may have been related to the former’s overreaction and economic overheating.

Item Type: Article
Keywords: Financial liberalization; Market interdependence; Principal component analysis; Multi-factor R-squared measure
Schools/Departments: University of Nottingham UK Campus > Faculty of Social Sciences > School of Contemporary Chinese Studies
Identification Number: https://doi.org/10.1016/j.intfin.2014.09.005
Depositing User: Liu, Zhenxing
Date Deposited: 03 Jul 2015 13:21
Last Modified: 14 Sep 2016 21:50
URI: http://eprints.nottingham.ac.uk/id/eprint/29129

Actions (Archive Staff Only)

Edit View Edit View