TAILIEUCHUNG - Common Influences, Spillover and Integration in Chinese Stock Markets

The Palestinian stock market has a number of key players, including the Palestine Securities Exchange, public listed companies, brokerage firms, the Capital Market Authority (CMA) and shareholders. The Palestine stock market was created in 1996, performing its first deal early in 1997. It evolved quickly in the last ten years, the number of listed companies reaching 35 with a capitalization of US$ 950 million. Total transactions amounted to around US$ 2 billion in 2005 as the Al Quds (Jerusalem) index bypassed 1000 points, before falling again when the fluctuating political situation since mid 2006 affected the market. . | SFB 649 Discussion Paper 2008-072 Common Influences Spillover and Integration in Chinese Stock Markets Enzo Weber Yanqun Zhang Freie Universitat Berlin and Universitat Mannheim Germany Chinese Academy of Social Sciences Beijing . China This research was supported by the Deutsche Forschungsgemeinschaft through the SFB 649 Economic Risk . http ISSN 1860-5664 SFB 649 Humboldt-Universitat zu Berlin Spandauer StraBe 1 D-10178 Berlin SFB 6 4 9 E C O N O M I C R I S K B E R L I N Common Influences Spillover and Integration in Chinese Stock Markets1 Enzo Weber2 Yanqun Zhang3 First Version 9 2008 This Version 12 2008 Abstract The Chinese stock market features an interesting history of divided market segments domestic A foreigners B and overseas H . This puts forth questions of market integration as well as cross-divisional information transmission. We address these issues in a structural DCC framework an econometric technique capable of identifying common factor influences from bi-directional spillovers as constituents of contemporaneous correlations. We find initial dominance of transmission from A to B and to a lesser extent from H to B and A to H. However since the opening of the B-market for Chinese citizens in 2001 common factors have largely replaced direct spillovers. Keywords China Stock Market Integration Causality Correlation JEL classification C32 G10 This research was supported by the Deutsche Forschungsgemeinschaft through the CRC 649 Economic Risk . The second author thanks the Chinese Academy of Social Sciences for the finance support through the key research project 2007. We are grateful to Cordelia Thielitz for her comments. Of course all remaining errors are our own. 2Freie Universitat Berlin and Universitat Mannheim L7 3-5 D-68131 Mannheim Germany enweber@ phone 49 0 621 181-1844 fax 49 0 621 181-1931 3Chinese Academy of Social Sciences Institute of Quantitative Technical Economics Jian-guomennei .

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