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