Financial liberalization and stock market cross-correlation: MF-DCCA analysis based on Shanghai-Hong Kong Stock Connect

Ruan, Qingsong; Zhang, Shuhua; Lv, Dayong; Lu, Xinsheng

doi:10.1016/j.physa.2017.09.031

Cited by 56 publications

(15 citation statements)

References 53 publications

Supporting

Mentioning

Contrasting

Order By: Relevance

“…They find it has an asymmetric effect—caused by the unbalanced development of the two stock markets—on the Mainland Chinese and Hong Kong stock markets. Further, the co‐movement between the Mainland Chinese and Hong Kong stock markets intensified with the implementation of the SH–HK–SC program (Nishimura, Tsutsui, & Hirayama, 2018; Ruan, Zhang, Lv, & Lu, 2017). Although the SH–HK–SC program does significantly affect the economic activity and stock market of Mainland China, its effect on the co‐integration relationship between the Mainland Chinese and Hong Kong stock markets is weak and unstable (Huo & Ahmed, 2017).…”

Section: Literature Reviewmentioning

confidence: 99%

Do the Shanghai–Hong Kong & Shenzhen–Hong Kong Stock Connect programs enhance co‐movement between the Mainland Chinese, Hong Kong, and U.S. stock markets?

Chen

2020

Int. J Fin Econ

View full text Add to dashboard Cite

The Shanghai–Hong Kong Stock Connect (SH–HK–SC) and Shenzhen–Hong Kong Stock Connect (SZ–HK–SC) programs aim to strengthen the openness of Mainland Chinese stock market. They are considered milestones in the development process of the Mainland Chinese capital market. This paper studies the effects of the SH–HK–SC and SZ–HK–SC programs on the co‐movement between the Mainland Chinese, Hong Kong and U.S. stock markets in terms of dynamic conditional correlation by the t‐copula–DCC–GARCH model. We find that both programs do not substantively enhance the daily price co‐movements among the examined markets for all pairs except the Hong Kong–U.S. pair. The combination effect of the programs significantly enhances the weekly price co‐movements between the Mainland Chinese and Hong Kong, or U.S. stock market after the SZ–HK–SC program, with an insignificant effect on the Hong Kong–U.S. pair. Although the multiple breakpoint tests for the daily data and weekly data exhibit somewhat different results, the structural breakpoints of the dynamic correlation coefficients among the stock markets easily appear during the subprime crisis. Some possible explanations are provided for the results, and correspondent suggestions are given for investors and policymakers.

show abstract

Section: Literature Reviewmentioning

confidence: 99%

Do the Shanghai–Hong Kong & Shenzhen–Hong Kong Stock Connect programs enhance co‐movement between the Mainland Chinese, Hong Kong, and U.S. stock markets?

Chen

2020

Int. J Fin Econ

View full text Add to dashboard Cite

show abstract

“…More recently, the MF-DCCA method has become widely used for earthquake [32] and hydrology [33] studies, especially in relation to financial markets [34,35]. Zhang et al ( 2018) [36] and Xiong et al (2019) [37] introduced the MF-DCCA method to study the Chinese stock market.…”

Section: Competing Interests: No Authors Have Competing Interestsmentioning

confidence: 99%

Nonlinear relationship between money market rate and stock market liquidity in China: A multifractal analysis

Sun

Yuan

2021

PLoS ONE

View full text Add to dashboard Cite

This paper employs the multifractal detrended cross-correlation analysis (MF-DCCA) model to estimate the nonlinear relationship between the money market rate and stock market liquidity in China from a multifractal perspective, leading to a better understanding of the complexity in the relationship between the interest rate and stock market liquidity. The empirical results show that the cross-correlations between the money market rate and stock market liquidity present antipersistence in the long run and that they tend to be positively persistent in the short run. The negative cross-correlations between the interest rate and stock market liquidity are more significant than the positive cross-correlations. Furthermore, the cross-correlations between the money market rate and stock market liquidity display multifractal characteristics, explaining the variations in the relationship between the interest rate and stock market liquidity at different time scales. In addition, the lower degree of multifractality in the cross-correlations between the money market rate and stock market liquidity confirms that it is effective for the interest rate to control stock market liquidity. The Chinese stock market liquidity is more sensitive to fluctuations in the money market rate in the short term and is inelastic in response to the money market rate in the long term. In particular, the positive cross-correlations between the money market rate and stock market liquidity in the short run become strong in periods of crises and emergencies. All the evidence proves that the interest rate policy is an emergency response rather than an effective response to mounting concerns regarding the economic impact of unexpected exogenous emergencies and that the interest rate cut policy will not be as effective as expected.

show abstract

“…ere are a number of ρ DCCA applications in meteorology [19,20], physiology [21,22], economy [13,23], financial [14,16,[24][25][26], and other research areas.…”

Section: Dcca Cross-correlation Coefficientmentioning

confidence: 99%

Effectiveness of Price Limit on Stock Market Network: A Time‐Migrated DCCA Approach

Dai

2021

Complexity

View full text Add to dashboard Cite

In this paper, we investigated the effectiveness of price limit on stock market with the correlation study and complex network technology. We proposed a time-migrated DCCA cross-correlation coefficient which is beneficial to detect the asynchronous correlations of nonstationary time series. The stock market network is constructed with the threshold method based on time-migrated DCCA. The effectiveness of the price limit during the stock market crash period is studied based on the time-migrated DCCA stock market network. The results indicate that the time-migrated DCCA ensures more relevant results than the equal-time DCCA method. An interesting finding is that the price limit has different effects on the stock market network at different stages of dynamic evolution. Market stabilization will be lowered and the systemic risk will be increased if the price limit is enhanced. Such studies are relevant for a better understanding of the stock market and have a significant contribution to the stock market in reality.

show abstract

Financial liberalization and stock market cross-correlation: MF-DCCA analysis based on Shanghai-Hong Kong Stock Connect

Cited by 56 publications

References 53 publications

Do the Shanghai–Hong Kong & Shenzhen–Hong Kong Stock Connect programs enhance co‐movement between the Mainland Chinese, Hong Kong, and U.S. stock markets?

Do the Shanghai–Hong Kong & Shenzhen–Hong Kong Stock Connect programs enhance co‐movement between the Mainland Chinese, Hong Kong, and U.S. stock markets?

Nonlinear relationship between money market rate and stock market liquidity in China: A multifractal analysis

Effectiveness of Price Limit on Stock Market Network: A Time‐Migrated DCCA Approach

Contact Info

Product

Resources

About