Test for the Influence of Subprime Crisis on Chinese Stock Market Returns

Abstract

The influence of Subprime Crisis on Chinese stock market returns is investigated in this paper. By means of newly proposed time series spatial analysis methodology, we analyze the dominance behavior of daily returns on both Shanghai Stock Exchange Composite Index and Shenzhen Stock Exchange Component Index between before and after the crisis. Little spatial dominance could be found, even considering the appreciation of the RMB, no matter in short-term or long run investment. For rationale investors, there are no significant risk and preference changes about domestic stock market in the post Subprime Crisis era.