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Does the Chinese stock market react to global news?

Byström, Hans LU (2011) In Journal of the Asia Pacific Economy 16(3). p.448-455
Abstract (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.
Please use this url to cite or link to this publication:
author
organization
publishing date
type
Contribution to journal
publication status
published
subject
keywords
news aggregator, volatility, stock market, China, worldwide news
in
Journal of the Asia Pacific Economy
volume
16
issue
3
pages
448 - 455
publisher
Taylor & Francis
external identifiers
  • wos:000299833500010
  • scopus:79961070121
ISSN
1354-7860
DOI
10.1080/13547860.2011.589631
language
English
LU publication?
yes
id
e94e4464-3a4a-4297-9aeb-172f12f429ae (old id 2275922)
date added to LUP
2012-01-09 11:04:22
date last changed
2017-01-01 06:02:43
@article{e94e4464-3a4a-4297-9aeb-172f12f429ae,
  abstract     = {<b>Abstract in Undetermined</b><br/><br>
In this paper, the news aggregator GoogleNews is used to assess the impact ofworldwide<br/><br>
news on the volatility of the Chinese stock market. Although we find a strong link<br/><br>
between the global stock market volatility and the amount of stock market-related news<br/><br>
available worldwide, the link between the Chinese stock market and the same set of<br/><br>
worldwide news is found to be much weaker. Diverging patterns for (domestic) A<br/><br>
shares and (international) B shares lead us to conclude that the direction of causality<br/><br>
most likely is from news volumes to volatility and not vice versa.},
  author       = {Byström, Hans},
  issn         = {1354-7860},
  keyword      = {news aggregator,volatility,stock market,China,worldwide news},
  language     = {eng},
  number       = {3},
  pages        = {448--455},
  publisher    = {Taylor & Francis},
  series       = {Journal of the Asia Pacific Economy},
  title        = {Does the Chinese stock market react to global news?},
  url          = {http://dx.doi.org/10.1080/13547860.2011.589631},
  volume       = {16},
  year         = {2011},
}