Interest in examining the financial linkages of economies has increased in the wake of the 2008/2009 global financial crisis. Applying the concepts of beta- and sigma-convergence of stock market returns, we assess changes over time in the degree of stock market integration between Russia and China as well as between them and the United States, the euro area and Japan. Our analysis is based on national and sectoral data spanning the period September 1995 to October 2010. Overall, we find evidence for gradually increasing stock market integration after the 1997 Asian financial crisis and the 1998 Russian financial crisis. Following a major disruption caused by the 2008/2009 global financial crisis, the process of stock market integration resumes between Russia and China, and with world markets. Notably, the episode of sigma-divergence from the 2008/2009 crisis is stronger for China than Russia. We also find that the process of stock market integration and the impact of the recent crisis have not been uniform at the sectoral level, suggesting potential for diversification of risk across sectors.

In a broad sample of developed and emerging economies over the past ten years we apply the approximate factor model in a search for common global and regional driving-forces in stock market returns and volatility. We focus particularly on two emerging stock markets - Russia and China, because of their unique characteristics and performance in the past years. We find that while Russian markets, like the CEEC region, substantially increased their integration with global stock markets, both the Chinese A- and B-share markets continued to move largely independently from global movements and only slightly increased in comovement with regional forces. We provide evidence of a general increase in global comovement of stock markets over the past decade and a decline in the role of regional forces, which imply a decrease of the effectiveness of cross-country hedging strategies.

The emergence of a stock market in China only occurred a decade ago and it remains something of an unknown quantity to many observers and traders outside of the country. This book provides an extensive historical and empirical analysis of the Chinese stock-market, the development of which is an integral part of the process of economic modernization that began in China in the late 1970s. The authors address a variety of critical topics to assess the efficiency, predictability and profitability of the Chinese stock-market. They carefully examine the evolution and performance of the market over the past ten years and measure its level of efficiency using an array of empirical studies. The results reveal that not only is the stock market far from efficient but that it has also failed to properly integrate with other regional markets. Thus, the authors propose further reforms which they argue are necessary for the stock market to realize its full potential contribution to the operation of China's financial markets and to its continuing economic development. The stock market in China will undoubtedly grow in importance and international influence during the next ten years. As such, this valuable new book will be required reading for economic researchers, business economists and market analysts, as well as academics with an interest in Chinese business and Asian finance.

The Chinese stock market features an interesting history of divided market segments: domestic (A), foreigners' (B) and overseas (H). This puts forth questions of market integration as well as cross-divisional information transmission. We address these issues in a structural DCC framework, an econometric technique capable of identifying common factor in uences from (bi-directional) spillovers as constituents of contemporaneous correlations. We find initial dominance of transmission from A to B and to a lesser extent from H to B and A to H. However, since the opening of the B-market for Chinese citizens in 2001, common factors have largely replaced direct spillovers. -- China ; stock market ; integration ; causality ; correlation

In recent years the Chinese government has instituted a series of reforms to restructure and open the Chinese financial system. This paper studies the dynamic correlations and sensitivities between Chinese mainland stock market and five major stock markets with the multivariate t-DCC-GARCH model. We also consider a Normal-DCC model and results show that t-DCC improves slightly the results. The analysis of reforms' effects on dynamic correlations and sensitivities prove that the Chinese mainland market is more closely tied to Asian stock markets over time, followed by the United States, and with relatively lower correlations with Europe and the United Kingdom. We highlight that the implementation of reforms changes theirs correlations and sensitivities over time. Since the reforms, the correlation between China and international stock markets has been reinforced.