Is China's equity market a systematic risk for international asset pricing models?

Alan T. Wang, Sheng Yung Yang

Research output: Contribution to journalArticle

Abstract

The world market portfolio or the US market portfolio is regarded as a systematic risk factor in international asset pricing models given the integrated international financial markets. In light of the rapid growth of China's economy and financial markets, this paper examines if China's equity market is becoming an important systematic risk for international asset pricing models for the developed countries and the Asian emerging economies. The findings indicate that, from the perspective of international investors, China's equity market has become an important pricing factor only in the short term, but not in the long term. Asian markets are much more influenced by China's market than G7 countries. The results have rich implications for asset pricing and international portfolio management.

Original languageEnglish
Pages (from-to)174-183
Number of pages10
JournalInvestment Management and Financial Innovations
Volume10
Issue number2
Publication statusPublished - 2013 Jan 1

All Science Journal Classification (ASJC) codes

  • Business and International Management
  • Accounting
  • Finance
  • Economics and Econometrics
  • Strategy and Management

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