Empirical Research on the Influences of Subprime Lending Crisis on HongKong & Mainland Stock Markets

摘要：

Relationship among different capital markets is usually affected and changed by some significant events. This paper made empirical research on Hong Kong Hang Seng China Enterprises Index and Mainland H-shares Index on the influences of Subprime Lending Crisis by using Johansen Multivariate Co-integration Test and Granger Causality Test, and then analyzed the relationship of information sharing between them by using Hasbroucks measure11, Gonzalo and Grangers measure21.The evidence shows that after the crisis, Granger Causality and the efficiency of information transferring between them has changed. The two markets become closer and share more and more information. So Hong Kong and Mainland should strengthen exchange and cooperation even more, to evade the market risk.

关键词： Subprime Lending Crisis Price Discovery Hang Seng China Enterprises Indez H-shares Indez

作者: ZHANG Peng LI Xiaofen

作者单位: Department of Statistics and Finance,University of Science and Technology of China,230026 Department of Management Science,University of Science and Technology of China,230026

会议类型: 国际会议

会议名称: 2009 International Conference on Management Science and Engineering(2009管理科学与工程国际会议)

会议地点: 北京

会议语种:英文

页码: 207-213

在线出版日期: 2009-11-01（万方平台首次上网日期，不代表论文的发表时间）