Asia-Pacific Financial Markets

, Volume 25, Issue 1, pp 23–45 | Cite as

China, Japan and the US Stock Markets and the Global Financial Crisis

  • Yan ZhangEmail author


In this paper, while focusing on the impact that the global financial crisis had on the stock markets of China, Japan, and the United States, the stock-price volatilities and linkage between these three countries are analyzed. In addition, the relationships between macroeconomic variables (real-economy variables and monetary-policy variables) and stock price volatility in each country are investigated. The estimation results of the EGARCH model revealed that although China’s stock price volatility was far greater than those of Japanese and US stock prices, China was less affected by the global financial crisis in 2007 than Japan and the United States. For China, stock price volatility was greater in the early 1990s, shortly after the stock market had been established, than in 2007 when the global financial crisis occurred. Furthermore, it has been revealed that the linkage of Chinese, Japanese, and US stock prices has increased since the global financial crisis. Moreover, Granger causality testing revealed China’s real-economy variables and monetary-policy variables do not affect China’s stock price volatility.


Linkage of stock prices Global financial crisis Exponential generalized autoregressive conditional heteroskedasticity (EGARCH) model 

JEL Classification

C1 E5 F3 F5 F6 G1 O1 O5 


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Copyright information

© Springer Japan KK, part of Springer Nature 2018

Authors and Affiliations

  1. 1.Faculty of International StudiesMeiji Gakuin UniversityTokyoJapan

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