CHINA’S MARKET AND GLOBAL ECONOMIC FACTORS

  • Mária Bohdalová Faculty of Management, Comenius University in Bratislava
  • Michal Greguš Faculty of Management, Comenius University in Bratislava
Keywords: quantile regression analysis, causality, Chinese stock market

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.

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Published
2018-09-24