Article ID | Journal | Published Year | Pages | File Type |
---|---|---|---|---|
5092420 | Journal of Comparative Economics | 2011 | 7 Pages |
Abstract
⺠Using time-varying parameter regression we study co-movement of Shanghai and New York stock prices. ⺠The coefficients of the two regressions of the rates of return for these two markets increased from 1999 to 2010. ⺠The increases are interrupted by the world economic downturn in 2008-2009. ⺠Effect of the rate in NY on the rate in Shanghai was larger than the effect of Shanghai on NY. ⺠Useful measures of globalization China and the US are provided.
Related Topics
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Authors
Gregory C. Chow, Changjiang Liu, Linlin Niu,