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.