Stock market interdependence between China and the world: A multi-factor R-squared approach
Stock market interdependence between China and the world: A multi-factor R-squared approach
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DOI：
10.1016/j.frl.2015.02.005
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发表时间：
2015-05
影响因子：
10.4
通讯作者：
Hongbo He;Shou Chen;Shujie Yao;Jinghua Ou
中科院分区：
文献类型：
--
作者：
Hongbo He;Shou Chen;Shujie Yao;Jinghua Ou
本文利用DataStream数据库2000年1月3日至2011年5月31日期间全球股票市场39个行业的日收益指数，采用多因素平方法，推导了一种归一化指数，分析了中国金融自由化对其股票市场与世界相互依存关系的影响。研究发现，中国加入WTO后的金融市场改革显著增强了市场相互依存性。
Using the daily return indexes of 39 industries obtained from DataStream database during 3 January 2000–31 May 2011 of the world stock markets and the multi-factorR-squared approach, we derive a normalized index to analyze the impact of China’s financial liberalization on its stock market interdependence with the world. It is found that China’s financial market reforms after its WTO accession have significantly enhanced market interdependence.