Co-movements between Chinese and American Stock Markets

• Main Author: 張瑀宸
• Other Authors: 郭炳伸
• Format: Others
• Language: en_US
• Online Access: http://ndltd.ncl.edu.tw/handle/40389326060823989713

碩士 === 國立政治大學 === 國際經營與貿易研究所 === 100 === This paper investigates stock market co-movements betweenthe the U.S. and China. We construct daytime and overnight returns for a portfolio of Chinese stocks using their NYSE-traded ADRs and an industry-matched portfolio of American stocks between 2005 and 2010. The results show that Chinese stock market is linked to American stock market through dierent sources and magnitudes of shocks. The analysis, based on the two-stage latent variables regression, further indicates that the market correlations be- tween China and the U.S. mostly come from competitive shocks. However, competitive shocks of the Yuan/Dollar foreign exchange rate and Treasury bill returns have lagged eects on the markets. The classications of shocks into competitive and global ones suggest a ner information for international risk diversication.