Data for: Does capital account liberalization drive the systemic importance of mainland China stock market? A network perspective

Even though Chinese government has launched a series of capital account liberalization schemes to promote the systemic importance of mainland China stock market, the mainland China market still remains relatively marginal in the global stock markets, that is, China’s capital account liberalization does not seem to work as expected. This paper measures the systemic importance of mainland China stock market based on dynamic tail correlation networks, and further analyzes the impact of China’s capital account liberalization on it. Empirical results manifest that, capital account liberalization indeed contributes to improving the systemic importance of mainland China stock market. Besides, the systemic importance is also significantly and positively affected by economic policy uncertainty and direct investment. More specially, investor sentiment in mainland China stock market has the apparent impact on systemic importance only when extreme events occur.

尽管中国政府推出了一系列资本账户自由化（capital account liberalization）方案以提升中国大陆股票市场的系统重要性（systemic importance），但中国大陆股票市场在全球股票市场中仍处于相对边缘化的地位，换言之，中国的资本账户自由化似乎并未达到预期成效。本文基于动态尾部关联网络（dynamic tail correlation networks）测度中国大陆股票市场的系统重要性，并进一步剖析中国资本账户自由化对其产生的影响。实证结果显示，资本账户自由化确实有助于提升中国大陆股票市场的系统重要性。此外，系统重要性还受到经济政策不确定性（economic policy uncertainty）与直接投资的显著正向影响。更具体而言，仅在极端事件发生时，中国大陆股票市场的投资者情绪才会对系统重要性产生显著影响。