This paper investigates the dynamic conditional correlations (DCC) of stock returns between China\nand international markets. Statistics suggest that stock-return correlations across markets are\ntime-varying, displaying a structural change triggered by an upward shift in China�s adoption of\nfinancial liberalization and the occurrence of the worldwide financial crisis. The dynamic correlations\nare closely tied to geographic location: the highest correlation is with Hong Kong, followed\nby Taiwan and Korea; the correlations with Europe and the US are low. The DCC series are negatively\nassociated with the relative P/E ratios and are positively associated with the risk from the\nUS market.
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