Title

Can US Economic Variables Predict Chinese Stock Market?

Publication Type

Presentation

Publication Date

7-2011

Abstract

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.

Keywords

Chinese stock market, Return predictability, Market integration

Discipline

Portfolio and Security Analysis

Research Areas

Finance

Publication

China International Conference in Finance 2011, Wuhan

City or Country

Wuhan, China

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