The Cross-Correlations between Foreign Flows in Chinese A-Share Markets and Uncertainties in Home Markets

This paper investigates the cross-correlations between the foreign flows in A-share market and the uncertainties of market, economy, and policy in home markets, namely, the VIX index and the US EPU index. By employing the cross-correlation statistics and MF-DCCA method, we find the existence of the...

Descripción completa

Guardado en:

Detalles Bibliográficos
Autores principales:	Tao Bing, Fei Hu, Hongkun Ma
Formato:	article
Lenguaje:	EN
Publicado:	Hindawi Limited 2021
Materias:	Mathematics QA1-939
Acceso en línea:	https://doaj.org/article/85f2203e0b134ca28b375831e328a3dc
Etiquetas:	Agregar Etiqueta Sin Etiquetas, Sea el primero en etiquetar este registro!

id	oai:doaj.org-article:85f2203e0b134ca28b375831e328a3dc
record_format	dspace
spelling	oai:doaj.org-article:85f2203e0b134ca28b375831e328a3dc2021-11-29T00:57:02ZThe Cross-Correlations between Foreign Flows in Chinese A-Share Markets and Uncertainties in Home Markets1607-887X10.1155/2021/6541902https://doaj.org/article/85f2203e0b134ca28b375831e328a3dc2021-01-01T00:00:00Zhttp://dx.doi.org/10.1155/2021/6541902https://doaj.org/toc/1607-887XThis paper investigates the cross-correlations between the foreign flows in A-share market and the uncertainties of market, economy, and policy in home markets, namely, the VIX index and the US EPU index. By employing the cross-correlation statistics and MF-DCCA method, we find the existence of the cross-correlations between the foreign flows and the VIX index, the foreign flows, and the US EPU index from qualitative and quantitative perspectives, respectively. For the cross-correlation between the foreign flows and VIX, small fluctuations are persistent, while large fluctuations are antipersistent. In contrast, the cross-correlation between the foreign flows and US EPU is antipersistent and steady. These results are robust by dividing the foreign flows into two parts in Shenzhen and Shanghai stock exchanges, respectively, and by shortening the periods to after the implementation of Shenzhen-Hong Kong Stock Connect.Tao BingFei HuHongkun MaHindawi LimitedarticleMathematicsQA1-939ENDiscrete Dynamics in Nature and Society, Vol 2021 (2021)
institution	DOAJ
collection	DOAJ
language	EN
topic	Mathematics QA1-939
spellingShingle	Mathematics QA1-939 Tao Bing Fei Hu Hongkun Ma The Cross-Correlations between Foreign Flows in Chinese A-Share Markets and Uncertainties in Home Markets
description	This paper investigates the cross-correlations between the foreign flows in A-share market and the uncertainties of market, economy, and policy in home markets, namely, the VIX index and the US EPU index. By employing the cross-correlation statistics and MF-DCCA method, we find the existence of the cross-correlations between the foreign flows and the VIX index, the foreign flows, and the US EPU index from qualitative and quantitative perspectives, respectively. For the cross-correlation between the foreign flows and VIX, small fluctuations are persistent, while large fluctuations are antipersistent. In contrast, the cross-correlation between the foreign flows and US EPU is antipersistent and steady. These results are robust by dividing the foreign flows into two parts in Shenzhen and Shanghai stock exchanges, respectively, and by shortening the periods to after the implementation of Shenzhen-Hong Kong Stock Connect.
format	article
author	Tao Bing Fei Hu Hongkun Ma
author_facet	Tao Bing Fei Hu Hongkun Ma
author_sort	Tao Bing
title	The Cross-Correlations between Foreign Flows in Chinese A-Share Markets and Uncertainties in Home Markets
title_short	The Cross-Correlations between Foreign Flows in Chinese A-Share Markets and Uncertainties in Home Markets
title_full	The Cross-Correlations between Foreign Flows in Chinese A-Share Markets and Uncertainties in Home Markets
title_fullStr	The Cross-Correlations between Foreign Flows in Chinese A-Share Markets and Uncertainties in Home Markets
title_full_unstemmed	The Cross-Correlations between Foreign Flows in Chinese A-Share Markets and Uncertainties in Home Markets
title_sort	cross-correlations between foreign flows in chinese a-share markets and uncertainties in home markets
publisher	Hindawi Limited
publishDate	2021
url	https://doaj.org/article/85f2203e0b134ca28b375831e328a3dc
work_keys_str_mv	AT taobing thecrosscorrelationsbetweenforeignflowsinchineseasharemarketsanduncertaintiesinhomemarkets AT feihu thecrosscorrelationsbetweenforeignflowsinchineseasharemarketsanduncertaintiesinhomemarkets AT hongkunma thecrosscorrelationsbetweenforeignflowsinchineseasharemarketsanduncertaintiesinhomemarkets AT taobing crosscorrelationsbetweenforeignflowsinchineseasharemarketsanduncertaintiesinhomemarkets AT feihu crosscorrelationsbetweenforeignflowsinchineseasharemarketsanduncertaintiesinhomemarkets AT hongkunma crosscorrelationsbetweenforeignflowsinchineseasharemarketsanduncertaintiesinhomemarkets
_version_	1718407655937015808

The Cross-Correlations between Foreign Flows in Chinese A-Share Markets and Uncertainties in Home Markets

Ejemplares similares