Can US Economic Variables Predict Chinese Stock Market?
Given that the size of the trade sector to the total economy has increase significantly since China jointed World Trade Organization (WTO) in the end of 2001, and therefore the importance of world relative to local information can increase as well, we examine whether the economic variables of the United States can predict the Chinese stock market after 2001. We find that although before year 2001, the economic variables of the United States are not useful in predicting the Chinese stock market, they provide significant predictability after 2001.
Chinese stock market, Return predictability, Market integration
Portfolio and Security Analysis
China International Conference in Finance 2011, Wuhan
City or Country
Can US Economic Variables Predict Chinese Stock Market?. (2011). China International Conference in Finance 2011, Wuhan. Research Collection Lee Kong Chian School Of Business.
Available at: http://ink.library.smu.edu.sg/lkcsb_research/3186