Title：The “Belt-and-Road” Initiative and financial market segmentation: Evidence from stock return synchronicity

　　Schedule: Sep 14, Wed 1:30-3 PM

　　Location: RM 315, Chengming Hall (诚明楼）& 腾讯会议 940 903 125

　　Introduction： Yezhou Sha is an Associate Professor in the School of Finance of Capital University of Economics and Business. His research covers empirical asset pricing, including market efficiency and household portfolio analysis. Since 2018 he has published over 20 papers in International Journal of Finance and Economics , Pacific-basin Finance Journal, and other peer-reviewed journals. He serves as a Subject Editor of Emerging Markets and Finance Trade  (2020-present), and as a reviewer of Journals of Economic Behavior and Organization, Journal of International Financial Markets, Institutions and Money , and many other recognised journals.

　　Abstract： Using panel data includes 91 major economics’ stock market index, we evaluate how the “Belt-and-Road” Initiative affect the integration of global stock market. We observe robust evidence of an increased stock return synchronicity after the country joined in the initiative. The increase is more pronounced among countries that are less connected with global capital market, lower degree of financial openness and less reliance on international trade. Further evidence shows that the synchronicity is segmented: the synchronicity is greatly affected by the choice of pricing currency, the uncertainty of economic policy as well as geopolitical risk. We conclude that the increased stock return synchronicity among “Belt-and-Road” economies is not a signal of global market integration, but rather a segmentation that centered in China and less connected with other global economic powerhouses.