From Shanghai to Sydney: Chinese Stock Market Influences on Australia

20 Pages Posted: 31 Mar 2020

See all articles by Richard C. K. Burdekin

Richard C. K. Burdekin

Claremont McKenna College - Robert Day School of Economics and Finance

Ran Tao

University of Wisconsin, Whitewater

Date Written: March 19, 2020

Abstract

We examine whether China’s growing importance to Australia as both a trade partner and engine of growth has been accompanied by financial market interdependence. We consider effects on the overall Australian market as well as the iron ore sector, which has been accounting for over half of Australia’s exports to China in the years since the global financial crisis. Markov-switching analysis yields evidence of the Shanghai Composite being connected not only with the Australian iron ore sector but also the broad market Australian All Ordinaries index. These ties are found to be significant only during low volatility periods, however.

Keywords: Stock market transmission; China; Australia

JEL Classification: G15

Suggested Citation

Burdekin, Richard C. K. and Tao, Ran, From Shanghai to Sydney: Chinese Stock Market Influences on Australia (March 19, 2020). Finance Research Letters, Forthcoming, Claremont McKenna College Robert Day School of Economics and Finance Research Paper No. 3557513, Available at SSRN: https://ssrn.com/abstract=3557513

Richard C. K. Burdekin (Contact Author)

Claremont McKenna College - Robert Day School of Economics and Finance ( email )

500 E. Ninth Street
Claremont, CA 91711
United States

Ran Tao

University of Wisconsin, Whitewater ( email )

800 West Main Street
Whitewater, WI 53190
United States
2624725447 (Phone)

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