BOFIT Discussion Papers, Institute for Economies in Transition, Bank of Finland
No 4/2012:
Integration of Chinese and Russian stock markets with world markets: National and sectoral perspectives
Ian Babeckii ()
, Luboš Komárek and Zlatuše Komárková
Abstract: Interest in examining the financial linkages of economies
has increased in the wake of the 2008/2009 global financial crisis.
Applying the concepts of beta- and sigma-convergence of stock market
returns, we assess changes over time in the degree of stock market
integration between Russia and China as well as between them and the United
States, the euro area and Japan. Our analysis is based on national and
sectoral data spanning the period September 1995 to October 2010. Overall,
we find evidence for gradually increasing stock market integration after
the 1997 Asian financial crisis and the 1998 Russian financial crisis.
Following a major disruption caused by the 2008/2009 global financial
crisis, the process of stock market integration resumes between Russia and
China, and with world markets. Notably, the episode of sigma-divergence
from the 2008/2009 crisis is stronger for China than Russia. We also find
that the process of stock market integration and the impact of the recent
crisis have not been uniform at the sectoral level, suggesting potential
for diversification of risk across sectors.
Keywords: stock market integration; beta-convergence; sigma-convergence; China; Russia; sectoral and national analysis; (follow links to similar papers)
JEL-Codes: C23; G12; G15; (follow links to similar papers)
41 pages, February 23, 2012
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