Co-movement: an empirical analysis

This paper analyses Chinese stock market co-movement behaviour from January 2001 till December 2011. The study randomly selected top 1000 listed companies from the Chinese stock market and compare their co-movement behaviour during and after the Global financial crisis. It is found that stocks in Chinese stock market were highly synchronous during the global financial crisis and its share price co-movement behaviour influenced by macroeconomics factors. The study also used several statistical techniques to analyse the stock market synchronous behaviour for the sample stock market and found evidence that co-movement behaviour are statistically significant for the R square measure at 1 per cent significant level