BOFIT Discussion Papers, Institute for Economies in Transition, Bank of Finland
No 4/2008:
Global and Regional Links between Stock Markets - the Case of Russia and China
Tomasz Kozluk ()
Abstract: In a broad sample of developed and emerging economies over
the past ten years we apply the approximate factor model in a search for
common global and regional driving-forces in stock market returns and
volatility. We focus particularly on two emerging stock markets - Russia
and China, because of their unique characteristics and performance in the
past years. We find that while Russian markets, like the CEEC region,
substantially increased their integration with global stock markets, both
the Chinese A- and B-share markets continued to move largely independently
from global movements and only slightly increased in comovement with
regional forces. We provide evidence of a general increase in global
comovement of stock markets over the past decade and a decline in the role
of regional forces, which imply a decrease of the effectiveness of
cross-country hedging strategies.
Keywords: stock markets; financial integration; Russia; China; global and regional integration; (follow links to similar papers)
JEL-Codes: F36; G11; G14; (follow links to similar papers)
42 pages, April 21, 2008
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