Abstract
The aim of this paper is to analyze the causal relation between the Chinese stock market and the US market. We investigate the dependence structures between two Chinese stock markets (Shanghai Stock Exchange Composite Index (SHCOMP) and Hong Kong Hang Seng Index (HSCEI) markets) and global economic factors such as SP 500 stock markets, volatility index VIX, crude oil and gold. We have used data based on a period from January 2000 to June 2017. The aim of this paper is to explore the causal link between the Chinese market and global economic factors. We have discovered asymmetric causal relations between stock returns and global risk factors based on a quantile regression.
Highlights
China has gone through a long journey in the last 25 years that has been accompanied by a great economic growth
The Chinese stock market is heavily dependent on its consumer economy, which depends on the overall state of the country, including the level of employment, agronomic production, consumer spending and the housing market
The aim of this paper is to find a link between selected China stock markets and global risk factors
Summary
China has gone through a long journey in the last 25 years that has been accompanied by a great economic growth. The Chinese stock market is heavily dependent on its consumer economy, which depends on the overall state of the country, including the level of employment, agronomic production, consumer spending and the housing market. These and other factors, such as overstatement of giant Chinese state-owned companies contribute to the formation of bubbles in the Chinese stock markets. The influence of China has intensified due to their participation in the gold price fix, their participation in setting the silver price, the renminbi being in the IMF basket, Chinese gold production slowing down, etc
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