Does the Chinese stock market react to global news?
Author
Summary, in Swedish
Abstract in Undetermined
In this paper, the news aggregator GoogleNews is used to assess the impact ofworldwide
news on the volatility of the Chinese stock market. Although we find a strong link
between the global stock market volatility and the amount of stock market-related news
available worldwide, the link between the Chinese stock market and the same set of
worldwide news is found to be much weaker. Diverging patterns for (domestic) A
shares and (international) B shares lead us to conclude that the direction of causality
most likely is from news volumes to volatility and not vice versa.
In this paper, the news aggregator GoogleNews is used to assess the impact ofworldwide
news on the volatility of the Chinese stock market. Although we find a strong link
between the global stock market volatility and the amount of stock market-related news
available worldwide, the link between the Chinese stock market and the same set of
worldwide news is found to be much weaker. Diverging patterns for (domestic) A
shares and (international) B shares lead us to conclude that the direction of causality
most likely is from news volumes to volatility and not vice versa.
Department/s
Publishing year
2011
Language
English
Pages
448-455
Publication/Series
Journal of the Asia Pacific Economy
Volume
16
Issue
3
Document type
Journal article
Publisher
Taylor & Francis
Topic
- Economics
Keywords
- news aggregator
- volatility
- stock market
- China
- worldwide news
Status
Published
ISBN/ISSN/Other
- ISSN: 1354-7860