تاثیر اصلاحات بازار سهام چین در ارتباطات بازار سهام بین المللی

This paper investigates how China's stock market reforms have affected the stock market linkages between China and Korea, Japan and the US respectively. We firstly use a 4 × 4 asymmetric GARCH-BEKK model and a series of likelihood ratio tests to uncover China's regional and global linkages between 1992 and 2010 and during three sub-periods representing the stages of the Chinese reforms. The results show that Chinese stock market is linked to these overseas markets and the reforms permit spillovers to these markets from China. The subsequent regression analyses of the time-varying conditional correlations, in the presence of growing economic integration, exchange rate risk and financial turbulence, further indicate that the interdependences between China and the regional markets increase due to the implementation of liberalisation policies. However, the correlation between China and the global market remains weak even though this correlation responds positively to the institutional reforms on China's stock market additionally.

Using a 4 × 4 asymmetric GARCH-BEKK model under the assumption of multivariate-normal distribution and a series of likelihood ratio tests, we find that the Chinese stock market is linked, during 1992–2010, to the US market through bi-directional spillovers and to the Korean and Japanese markets via unidirectional transmissions from China. However, the Chinese stock market does not exert any influences on the overseas markets until he liberalisation period of 2003–2010. The Chinese stock market becomes completely isolated from the global and regional markets during the clean-up period of 1997–2003 while it responds passively to the overseas markets during the expansion period of 1992–1997. The results are consistent with the stronger volatility spillovers following institutional changes found by Ng (2000). But in the case of China, the market liberalisation and institutional reforms increase the spillovers from China to the overseas markets. The extent of the market linkages between China and Korea and Japan is increasing due to growing economic and financial integration, thus China is expected to reap the benefits such as greater capital inflows and lower cost of capital. But the market interdependence between China and the US remains weak and has no tendency to increase during 1992–2010. Hence there is still scope for international diversification into China. The five major reform and liberalisation policies implemented during 1992–2010 are statistically significant in altering the extent of the market linkages. Consistent with Bekaert and Harvey (1997), the extentof the linkages between China and the global and regional markets is raised by the liberalisation policies especially opening the A-share trading to foreign investors. However, the institutional reforms such as the introduction of Securities Law and non-tradable share reform are most relevant to the correlations between China and the global and regional developed markets only. Implementing the reform policies on the stock exchanges stage by stage under government direction is compatible with the approach of gradual liberalisation of China’s economy. Although it is inevitable for the Chinese stock exchanges to experience decreases in trading volume, share prices and market capitalisation during the global financial crises, the negative consequences such as capital flight and currency crisis have not arisen during the process of China’s gradual reforms and liberalisation. When developing or reforming their stock exchanges, developing economies may draw upon China’s experiences of promoting stock exchanges as part of a national development strategy, incorporating them into national economy through institutional reforms and gradually opening up their stock markets in order to minimise the negative consequences of liberalisation.