Stock market integration and financial crises: evidence from Chinese sector portfolios
(2014)
Preprint / Working Paper
Li, H., & Daly, V. (2014). Stock market integration and financial crises: evidence from Chinese sector portfolios
This paper assesses China’s stock market integration with the global market during 1997-2013 and the impact of financial crises on the extent of integration within an augmented CAPM framework. We obtain time-varying global and national systematic ris... Read More about Stock market integration and financial crises: evidence from Chinese sector portfolios.