Who Listens When China Whispers: An Empirical Study of China's New Effect on Seven World Stock Markets

This study investigates the impact of Chinese news on seven stock markets in US, UK, Japan, Korea, Taiwan, Hong Kong and China Mainland. Using daily return data and news data from Reuters News Service, the paper provides empirical evidence that number of daily news items about China has significant positive effect on the volatility of daily returns of all seven markets. Results indicate that macroeconomic news is significant for all markets, international trade news is significant for all but Hong Kong stock exchange and political news significantly impacts markets in Taiwan, Hong Kong and Mainland China.

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