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oaioai:lup.lub.lu.se:e94e4464-3a4a-4297-9aeb-172f12f429ae

Does the Chinese stock market react to global news?

Authors
Publication date
1 January 2011
Publisher
Routledge
Doi

    Abstract

    Abstract in Undetermined In this paper, the news aggregator GoogleNews is used to assess the impact ofworldwide news on the volatility of the Chinese stock market. Although we find a strong link between the global stock market volatility and the amount of stock market-related news available worldwide, the link between the Chinese stock market and the same set of worldwide news is found to be much weaker. Diverging patterns for (domestic) A shares and (international) B shares lead us to conclude that the direction of causality most likely is from news volumes to volatility and not vice versa

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    Lund University Publications

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    Last time updated on 18/06/2017

    This paper was published in Lund University Publications.

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