A Study on the Relationship between Chinese Stock Market and American Stock Market
Many researchers and investors have studied the co movement phenomenon between different countries. They often use meth ods like ECM and Granger proof-test to carry out their researches. Some researchers conclude that the correlation between Chinese stock market and Americans is really very weak. This paper, however, holds a dif ferent view. This paper uses new research method event study to analyze the relationship between Chinese stock market and that of American and find out that the American stock market has very strong influence on the Chinese stock market. This paper uses behavior finance theory to explain the result. If the American stock market falls, the Chinese stock market will decline, too. If the American stock market is at rise, the Chinese stock market will also grow.
Stock index Co-movement Event study Behavior finance Market contagion
Zhang Changcheng
School of Accounting, Zhongnan university of Economics and Law
国际会议
2008 Sino-Australia International Conference on Accounting and Finance(2008中澳会计与财务国际学术研讨会)
武汉
英文
216-225
2008-10-31（万方平台首次上网日期，不代表论文的发表时间）