Dependence structures between Chinese stock markets and the international financial market: Evidence from a wavelet-based quantile regression approach

作者：Yang, Lu; Tian, Shuairu; Yang, Wei; Xu, Mingli; Hamori, Shigeyuki^*

来源：North American Journal of Economics and Finance, 2018, 45(Jul.): 116-137.

DOI：10.1016/j.najef.2018.02.005

• Chinese stock market
• Wavelet
• Quantile regression analysis

In this study, we investigate the dependence structures between six Chinese stock markets and the international financial market including possible safe haven assets and global economic factors under different market conditions and investment horizons. The research is conducted by combining a quantile regression approach with a wavelet decomposition analysis. Although we find little or insignificant dependence under short investment horizons, we detect the strong asymmetric dependence of oil prices and the US dollar index on the six Chinese stock markets in the medium and long terms. Moreover, not only is crude oil not a safe haven, it may damage Chinese stock markets as it increases over the long term, even in bull markets. Meanwhile, appreciation of the US dollar (depreciation of RMB) damages (boosts) Chinese stock markets during bull (bear) market conditions under long investment horizons. Moreover, we find that VIX (volatility index)-related derivatives may serve as good risk management tools under any market condition, while gold is a safe haven asset only during crisis periods.

• 出版日期2018-7
• 单位华东理工大学; 中南财经政法大学; 上海商学院