Study on Openness of Chinese stock market based on wavelet analysis

摘要：

The openness of a stock market is measured by the price impact of other stock markets on it.The article uses wavelet analysis to eliminate noise in stock price signal;and use SVAR,impulse response analysis and variance decomposition to analyze the degree of the Shanghai stock market affected by the fluctuations of stock markets of Hong Kong,Tokyo,New York and London.The results show that the openness of the Shanghai stock market is improving gradually.

关键词： openness of stock market Daubechis wavelet SVAR impulse response analysis variance decomposition

作者: Yu Zhao Yu Zhang Chunjie Qi

作者单位: College of Economics & Management,Huazhong Agricultural University,Wuhan,P.R.China,and Postal Code:430070

会议类型: 国际会议

会议名称: The 2008 International Conference on Business Intelligence and Financial Engineering(BIFE 2008)(商业智能和金融工程国际会议)

会议地点: 长沙

会议语种:英文

页码: 736-741

在线出版日期: 2008-10-28（万方平台首次上网日期，不代表论文的发表时间）