The effect of the opening up of China on relationships with international stock markets
1 : Montpellier Recherche en Economie
Université de Montpellier : EA7491
This paper study the dynamic correlation and sensitivity between Chinese mainland stock market and five major stock markets with the DCC-GARCH model. The effects of the reforms on dynamic correlations and sensitivity are also analyzed. The analyses prove that the Chinese mainland market is more closely tied to Asian stock markets over time, followed by the United States, and with relatively lower correlations with Europe and the United Kingdom. And the implementation of reforms changes their correlation and sensitivity over time.