Financial liberalisation and international market interdependence: evidence from China’s stock market in the post-WTO accession period
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...
| Main Authors: | , , , |
|---|---|
| Format: | Article |
| Published: |
Elsevier
2014
|
| Subjects: | |
| Online Access: | https://eprints.nottingham.ac.uk/29129/ |
| _version_ | 1848793720613240832 |
|---|---|
| author | He, Hongbo Chen, Shou Yao, Shujie Ou, Jinghua |
| author_facet | He, Hongbo Chen, Shou Yao, Shujie Ou, Jinghua |
| author_sort | He, Hongbo |
| building | Nottingham Research Data Repository |
| collection | Online Access |
| description | 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. |
| first_indexed | 2025-11-14T19:04:47Z |
| format | Article |
| id | nottingham-29129 |
| institution | University of Nottingham Malaysia Campus |
| institution_category | Local University |
| last_indexed | 2025-11-14T19:04:47Z |
| publishDate | 2014 |
| publisher | Elsevier |
| recordtype | eprints |
| repository_type | Digital Repository |
| spelling | nottingham-291292020-05-04T16:54:51Z https://eprints.nottingham.ac.uk/29129/ Financial liberalisation and international market interdependence: evidence from China’s stock market in the post-WTO accession period He, Hongbo Chen, Shou Yao, Shujie Ou, Jinghua 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. Elsevier 2014-11-01 Article PeerReviewed He, Hongbo, Chen, Shou, 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 Financial liberalization; Market interdependence; Principal component analysis; Multi-factor R-squared measure http://www.sciencedirect.com/science/article/pii/S1042443114001164 doi:10.1016/j.intfin.2014.09.005 doi:10.1016/j.intfin.2014.09.005 |
| spellingShingle | Financial liberalization; Market interdependence; Principal component analysis; Multi-factor R-squared measure He, Hongbo Chen, Shou Yao, Shujie Ou, Jinghua Financial liberalisation and international market interdependence: evidence from China’s stock market in the post-WTO accession period |
| title | Financial liberalisation and international market interdependence: evidence from China’s stock market in the post-WTO accession period |
| title_full | Financial liberalisation and international market interdependence: evidence from China’s stock market in the post-WTO accession period |
| title_fullStr | Financial liberalisation and international market interdependence: evidence from China’s stock market in the post-WTO accession period |
| title_full_unstemmed | Financial liberalisation and international market interdependence: evidence from China’s stock market in the post-WTO accession period |
| title_short | Financial liberalisation and international market interdependence: evidence from China’s stock market in the post-WTO accession period |
| title_sort | financial liberalisation and international market interdependence: evidence from china’s stock market in the post-wto accession period |
| topic | Financial liberalization; Market interdependence; Principal component analysis; Multi-factor R-squared measure |
| url | https://eprints.nottingham.ac.uk/29129/ https://eprints.nottingham.ac.uk/29129/ https://eprints.nottingham.ac.uk/29129/ |