Study on Integration Trend of Fluctuation of Hong Kong Stock Market and Shanghai and Shenzhen Stock Market
The article examines daily market index data of Hong Kong, Shanghai and Shenzhen stock markets from 1997 to 2007, and analyses fluctuation link trend between two regions stock markets.Using multivariate GARCH model to fit stock markets time change related coefficients, and through Johansen cointegration test and Granger causality test, the paper finds the link between Shanghai and Shenzhen stock markets and Hong Kong stock market has become more closely linked and integration trend is remarkable. The strong relevancy effectively reduces risk by making diversified investment in two regions.
stock market integration time change relevancy cointegration test Granger causality test
AN Jingwen ZHAO Linfeng
Management College of China University of Mining and Technology (Beijing) 100083 College of Resources and Safety Engineering of China University of Mining and Technology (Beijing) 1
国际会议
2008 International Conference of Management Science and Engineering(2008管理科学与工程国际学术会议)
河南焦作
英文
1052-1060
2008-11-01(万方平台首次上网日期,不代表论文的发表时间)