In this paper

we depict the internationalization of Chinese stock market by examining the linkages between Chinese stock market and those of other major countries and regions. Multiplicative dynamic conditional correlation model (MDCC) is employed to separate the long-term trends from short-term fluctuations in those linkages. While in the last century we could detect internationalization to a very limited degree

the evidence for internationalization have been strengthened since 2001. However

there is still much room for progress in the internationalization of Chinese stock market compared to the developed ones. In addition

the short-term fluctuation in the internationalization process does have time-varying characteristics

but the persistency is much lower than estimated by the traditional DCC model.