The role of Chinese stock market in global stock markets: A safe haven or a hedge? |
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| Authors: | YiHao Lai Jen-Ching Tseng |
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| Institution: | 1. Pamplin School of Business, University of Portland, Portland, OR 97203, USA;2. Department of Finance and Real Estate, Colorado State University, Fort Collins, CO 80523, USA;1. CRCGM, University of Auvergne, Clermont-Ferrand, France;2. University of Orléans, Orléans, France;3. IPAG Business School, Paris, France;1. University of Southampton, School of Business, UK;2. University of Swansea, School of Management, UK |
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| Abstract: | The contribution of the study is threefold. First, the paper proposes a new empirically testable definition for a safe haven and a hedge from the viewpoint of extreme and regular dependences measured by a modern statistical tool of copulas. Second, this paper investigates the extreme and regular dependences between the Chinese and the G7 stock markets, using a mixture copula specification, and the results reveal that the Chinese stock market has been not only a hedge but also a safe haven for the G7 stock markets all these years. Finally, this study suggests that the Chinese stock market is the target market for global stock fund managers and international investors, who are seeking a hedge or a safe haven for their portfolios, under turbulence. |
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