Analysis of Stock Market Information ---- A New Financial Engineering Approach

摘要：

In this paper we introduce a new financial engineering approach to the investigation of information flow between two world stock markets. We apply the one-way effect causal measure approach presented by Yao and Hosoya (2000) and Yao (2007) to the analysis of systematic information transmission between stock markets of China, the US and Japan. In view of a high technical time series modeling, we see that both of the information flows from New York stock market and Tokyo stock market to Shanghai stock market are strong and short-run. The reverse, the information flow from Shanghai stock market to New York stock market and also to Tokyo stock market are statistically existed but comparatively weak and very steady. The one-way effect approach is found to be successfully revealed transmission of stock market information.

关键词： Financial Engineering Granger’s non-causality Information Flow Modeling Technique Stock Market Information

作者: Feng YAO Yirong YING Lingwen ZHANG

作者单位: Faculty of Economics Kagawa University 1 Saiwai-cho,Takamatsu 760-8523 Japan College of International Business and Management Shanghai University 99 Shangda-Lu,Shanghai,200444,C Department of Electronic Engineering Jilin Communications Polytechnic 63 Diantai-jie,Changchun,13001

会议类型: 国际会议

会议名称: 2010 IEEE信息与自动化国际会议(ICIA 2010)

会议地点: 哈尔滨

会议语种:英文

页码: 1-6

在线出版日期: 2010-06-20（万方平台首次上网日期，不代表论文的发表时间）