期刊
JOURNAL OF CHINESE ECONOMIC AND BUSINESS STUDIES
卷 8, 期 3, 页码 293-314出版社
ROUTLEDGE JOURNALS, TAYLOR & FRANCIS LTD
DOI: 10.1080/14765284.2010.493642
关键词
China; financial market integration; co-dependence; Copula
类别
资金
- Bank of Sweden Tercentenary Foundation
- Swedish Foundation for International Cooperation in Research and Higher Education
- Swedish School of Advanced Asia-Pacific Studies (SSAAPS)
It is commonly argued that China's financial markets are effectively insulated from the rest of the world. To see if this is true, and to better understand China's financial development, we analyse China's integration with major financial markets. Using conditional copulas, we show that China has experienced an increasing level of integration with several major financial markets during the last decade, albeit at a slow pace and from very low levels. Furthermore, the level of integration has increased with several major markets during the global financial crisis. The results and possible reasons for the increasing integration are analysed and the implications for policymakers and market participants are discussed.
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