• ISSN: 2010-023X
    • Frequency: Bimonthly
    • DOI: 10.18178/IJTEF
    • Editor-in-Chief: Prof.Tung-Zong (Donald) Chang
    • Executive Editor: Ms. Cherry L. Chen
    • Abstracting/ Indexing: Engineering & Technology Digital Library, ProQuest, Crossref, Electronic Journals Library, DOAJ , EBSCO, and Ulrich's Periodicals Directory
    • E-mail: ijtef@ejournal.net
IJTEF 2010 Vol.1(1): 114-120 ISSN: 2010-023X
DOI: 10.7763/IJTEF.2010.V1.21

Study on Openness of Chinese Stock Market: Comparing with Mature Markets

Yu Zhao, Yu Zhang and Chunjie Qi
Abstract—The maturity and openness of Chinese stock markets can be measured by price impact of other mature stock markets on them. The article uses wavelet analysis to eliminate noise in stock price signal and analyzes to what degree is Shanghai stock market affected by volatility of stock markets of Hong Kong, Tokyo, New York and London by using SVAR (Structural Vector Auto Regression), impulse response analysis and variance decomposition. The results show that Chinese stock markets are becoming more and more mature and open, which are integrated into the global stock market gradually, which can be known from the response of Shanghai Composite Index shocked by the other indices. Among all the mature stock indices in the paper, influence of Dow-Jones Index on Shanghai Composite Index is most significant, followed by FTSE100 Index.

Index Terms—Chinese Stock Markets, Wavelet Analysis, SVAR; Impulse Response, Variance Decomposition.

Zhao Yu was with the College of Economics & Management, Huazhong Agricultural University, Wuhan, 430070, China. He is now with the College of Economics & Management, ECIT, Nanchang, 330013, China. (*Corresponding author: 86-0-13114360203; fax: 86-027-87276077; e-mail: math052360@gmail.com).
Zhang Yu is with the College of Economics & Management, Huazhong Agricultural University, Wuhan, Hubei, 430070, China (e-mail: zyzyonly@126.com).
Qi Chunjie is with the College of Economics & Management, Huazhong Agricultural University, Wuhan, Hubei, 430070, China (e-mail: qichunjie@mail.hzau.edu.cn).

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Cite:Yu Zhao, Yu Zhang and Chunjie Qi, "Study on Openness of Chinese Stock Market: Comparing with Mature Markets," International Journal of Trade, Economics and Finance vol.1, no.1, pp. 114-120, 2010.

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