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The impact of China's stock market reforms on its international stock market linkages

机译：中国股票市场改革对其国际股票市场联系的影响

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摘要

This paper investigates how China's stock market reforms have affected the stock market linkages between China and Korea, Japan and the US respectively. We firstly use a 4 × 4 asymmetric GARCH-BEKK model and a series of likelihood ratio tests to uncover China's regional and global linkages between 1992 and 2010 and during three sub-periods representing the stages of the Chinese reforms. The results show that Chinese stock market is linked to these overseas markets and the reforms permit spillovers to these markets from China. The subsequent regression analyses of the time-varying conditional correlations, in the presence of growing economic integration, exchange rate risk and financial turbulence, further indicate that the interdependences between China and the regional markets increase due to the implementation of liberalisation policies. However, the correlation between China and the global market remains weak even though this correlation responds positively to the institutional reforms on China's stock market additionally.
机译：本文研究了中国的股市改革如何影响中国与韩国，日本和美国之间的股市联系。我们首先使用4×4不对称GARCH-BEKK模型和一系列似然比检验来揭示1992年至2010年以及代表中国改革阶段的三个子时期中中国的区域和全球联系。结果表明，中国股票市场与这些海外市场相关联，而改革允许中国向这些市场溢出。随后在经济一体化，汇率风险和金融动荡加剧的情况下，对时变条件相关性的回归分析进一步表明，中国和区域市场之间的相互依存度由于实行自由化政策而增加。但是，即使这种关联对中国股票市场的机构改革产生了积极的响应，但中国与全球市场之间的关联仍然很弱。

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