WTO 가입 이후 중국과 국제주식시장 간 정보전이 효과 및 비동조화 요인 분석

Abstract

The more the world economy opens, the more stock markets show co-movement among countries. Especially, after the Asian crisis in 1997, Asian countries opened their capital market on a full scale, resulting in more capital movement. Asian stock markets have been more easily affected by the fluctuation from overseas, such as developed countries like U.S. and E.U. However, Chinese stock market has shown a quite different trend from this movement. We focus on the empirical studies on the co-movement of stock prices as well as the correlation between Chinese and world stock markets. We examine why Chinese stock market becomes less affected by the fluctuation of international stock markets. First, Using the EGARCH(Exponential GARCH) introduced by Nelson(1991), we verify the volatility and mean spillover effects among U.S., Japan, and Chinese stock market index returns. The results show that the mean spillover and volatility of Chinese market from U.S. and Japan do not show statistically significant result, implying that there is no information transmission from U.S. and Japan to China. It means that China is still isolated from the world markets in terms of information transmission despite of joining WTO, and the reform and opening of the stock market. The following factors could explain why Chinese stock market shows weak link with the world stock markets. First, Chinese stock market is now working for regulation building and modernization. Especially it has some distinctive characteristics such as dual market system and non-tradable shares reform, which are quite different from other countries. In addition, the most critical factor of China’s decoupling is that there is no transmission channel of capital in and outside of China. It means that China is independent from the fluctuation of the world stock markets and China’s current high price represents only symbolic feature of a rising economic giant. It is not originated from complicated overseas investment capital movement. The expansion of the domestic demand and excessive liquidity could be the factors for decoupling with world stock price movement. However, as China’s economic development and the reform of the financial market go on, the stock market becomes more easily affected by the economic and social factors of outside. Also, reforms such as development of QFII(Qualified Foreign Institutional Investors), QDII(Qualified Domestic Institutional Investors) system, market integration of A and B shares, merge movement of Shanghai and Shenzhen markets, and 2nd market opening are speeding up the China’s structural change in its capital market and driving China to more open market system. Thus, China would not be isolated and independent market any longer.