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Does the Chinese stock market react to global news?

Författare:
Publiceringsår: 2011
Språk: Engelska
Sidor: 448-455
Publikation/Tidskrift/Serie: Journal of the Asia Pacific Economy
Volym: 16
Nummer: 3
Dokumenttyp: Artikel i tidskrift
Förlag: Taylor & Francis

Sammanfattning

Abstract in Undetermined

In this paper, the news aggregator GoogleNews is used to assess the impact ofworldwide

news on the volatility of the Chinese stock market. Although we find a strong link

between the global stock market volatility and the amount of stock market-related news

available worldwide, the link between the Chinese stock market and the same set of

worldwide news is found to be much weaker. Diverging patterns for (domestic) A

shares and (international) B shares lead us to conclude that the direction of causality

most likely is from news volumes to volatility and not vice versa.

Nyckelord

  • Economics
  • news aggregator
  • volatility
  • stock market
  • China
  • worldwide news

Övriga

Published
  • ISSN: 1354-7860

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