earticle

영어

This paper examines the dynamic conditional correlations between the Chinese sector returns and the three global equity indices, namely S&P500, STOXX Europe 600, and TOPIX, focusing on the 2008-2009 Global Financial Crisis and the 2010-2011 European Sovereign Debt Crisis periods. Using a sample of 12 Chinese sector-level indices, we find that the conditional correlations significantly vary across sectors and across crises. Specifically, the financial sector exhibits a relatively high correlation with the three stock market indices, whereas the health sector preserves a low correlation. In addition, we verify that the conditional correlations of all sectors are increased during the crisis periods, attesting to the stylized fact observed at index levels. We further investigate the determinants of the sector-level correlations by conducting a panel regression analysis. Our key finding is that crisis dummies and industry-specific variables, such as book-to-market ratio, cash holdings, fixed assets, and ROA, are significantly associated with the magnitude of conditional correlations. Our paper contributes to the existing literature by explaining the conditional correlation dynamics based on corporate investment and financing activities.