Does the Chinese stock market react to global news?

In this paper, the news aggregator Google News is used to assess the impact of worldwide news on the volatility of the Chinese stock market. Although we find a strong link between the global stock market volatility and the amount of stock market-related news available worldwide, the link between the Chinese stock market and the same set of worldwide news is found to be much weaker. Diverging patterns for (domestic) A shares and (international) B shares lead us to conclude that the direction of causality most likely is from news volumes to volatility and not vice versa. [ABSTRACT FROM AUTHOR]