Convergence of Returns on Chinese and Russian Stock Markets
with World Markets: National and Sectoral Perspectives

J 2013

Convergence of Returns on Chinese and Russian Stock Markets with World Markets: National and Sectoral Perspectives

KOMÁREK, Luboš, Zlatuše KOMÁRKOVÁ and Jan BABECKÝ

Basic information

Original name

Convergence of Returns on Chinese and Russian Stock Markets with World Markets: National and Sectoral Perspectives

Name in Czech

Konvergence výnosů na čínských a ruských akciových trzích ke světovým trhům: národní a odvětvové perspektivy

Authors

KOMÁREK, Luboš, Zlatuše KOMÁRKOVÁ and Jan BABECKÝ

Edition

National Institute Economic Review, UK, National Institute of Economic and Social Research, 2013, 0027-9501

Other information

Language

English

Type of outcome

Článek v odborném periodiku

Field of Study

50200 5.2 Economics and Business

Country of publisher

United Kingdom of Great Britain and Northern Ireland

Confidentiality degree

není předmětem státního či obchodního tajemství

References:

Abstrakt článku

Organization unit

University of Finance and Administration

Keywords (in Czech)

Integrace akciového trhu, beta-konvergence, sigma-konvergence, Čína, Rusko, sektorová a národní analýza

Keywords in English

Stock market integration, beta-convergence, sigma-convergence, China, Russia, sectoral and national analysis

Abstract

ORIG CZ

V originále

Interest in examining the financial linkages of economies has increased in the wake of the 2008/9 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 of Russia and China with each other, as well as with respect to 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 convergence of stock market returns after the 1997 Asian financial crisis and the 1998 Russian financial crisis.

In Czech

Zájem o zkoumání finančních vazeb ekonomik se zvýšil v důsledku globální finanční krize 2008/9. Použitím konceptů beta- a sigma-konvergence výnosů z akciových trhů hodnotíme v čase změny v míře integrace ruského a čínského akciového trhu mezi sebou navzájem, jakož i ve vztahu ke Spojeným státům, eurozóně a Japonsko. Naše analýza je založena na národních a odvětvových datech od září 1995 do října 2010. Celkově nacházíme důkazy o postupném zvyšování konvergence výnosů z akciových trhů po asijské finanční krizi v roce 1997 a ruské finanční krizi v roce 1998.

Citovat

KOMÁREK, Luboš, Zlatuše KOMÁRKOVÁ and Jan BABECKÝ. Convergence of Returns on Chinese and Russian Stock Markets with World Markets: National and Sectoral Perspectives. National Institute Economic Review. UK: National Institute of Economic and Social Research, 2013, vol. 223, No 2013, p. 16-34. ISSN 0027-9501.

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   author = {Komárek, Luboš and Komárková, Zlatuše and Babecký, Jan},
   article_location = {UK},
   article_number = {2013},
   keywords = {Stock market integration, beta-convergence, sigma-convergence, China, Russia, sectoral and national analysis},
   language = {eng},
   issn = {0027-9501},
   journal = {National Institute Economic Review},
   title = {Convergence of Returns on Chinese and Russian Stock Markets with World Markets: National and Sectoral Perspectives},
   url = {https://www.cambridge.org/core/journals/national-institute-economic-review/article/convergence-of-returns-on-chinese-and-russian-stock-markets-with-world-markets-national-and-sectoral-perspectives/0C72EBB2B312CB18875C49229E13DD64#},
   volume = {223},
   year = {2013}
}

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AU  - Komárek, Luboš - Komárková, Zlatuše - Babecký, Jan
PY  - 2013
TI  - Convergence of Returns on Chinese and Russian Stock Markets with World Markets: National and Sectoral Perspectives
JF  - National Institute Economic Review
VL  - 223
IS  - 2013
SP  - 16-34
EP  - 16-34
PB  - National Institute of Economic and Social Research
SN  - 00279501
KW  - Stock market integration, beta-convergence, sigma-convergence, China, Russia, sectoral and national analysis
UR  - https://www.cambridge.org/core/journals/national-institute-economic-review/article/convergence-of-returns-on-chinese-and-russian-stock-markets-with-world-markets-national-and-sectoral-perspectives/0C72EBB2B312CB18875C49229E13DD64#
L2  - https://www.cambridge.org/core/journals/national-institute-economic-review/article/convergence-of-returns-on-chinese-and-russian-stock-markets-with-world-markets-national-and-sectoral-perspectives/0C72EBB2B312CB18875C49229E13DD64#
N2  - Interest in examining the financial linkages of economies has increased in the wake of the 2008/9 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 of Russia and China with each other, as well as with respect to 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 convergence of stock market returns after the 1997 Asian financial crisis and the 1998 Russian financial crisis.
ER  -

KOMÁREK, Luboš, Zlatuše KOMÁRKOVÁ and Jan BABECKÝ. Convergence of Returns on Chinese and Russian Stock Markets with World Markets: National and Sectoral Perspectives. \textit{National Institute Economic Review}. UK: National Institute of Economic and Social Research, 2013, vol.~223, No~2013, p.~16-34. ISSN~0027-9501.

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