Is the Chinese financial market integrated with the us market? Evidence from asymmetric approaches

Abdulnasser Hatemi-J, Alan Mustafa

    Research output: Chapter in Book/Report/Conference proceedingChapter

    Abstract

    This paper investigates empirically whether or not the financial market of China is integrated with the financial market of the US. Unlike most previous studies on financial market integration, we allow for asymmetry in our investigation. The underlying data is transformed into cumulative partial sums by using a software component that is created by authors in Octave language. By estimating the asymmetric generalized impulse response functions we find that the financial markets of these two biggest economies in the world are linked interactively when the markets are falling. However, no significant impact between the two underlying markets are found when markets are rising. These results support the view that allowing for asymmetry in testing for financial market integration is important and it has crucial repercussions for both policy makers and investors.

    Original languageEnglish
    Title of host publicationProgress in Economics Research
    PublisherNova Science Publishers, Inc.
    Pages191-203
    Number of pages13
    Volume39
    ISBN (Electronic)9781536128581
    ISBN (Print)9781536128574
    Publication statusPublished - Jan 1 2017

    Keywords

    • Asymmetry
    • China
    • Financial market integration
    • Impulses
    • Octave
    • US

    ASJC Scopus subject areas

    • Economics, Econometrics and Finance(all)
    • General Business,Management and Accounting

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