Researching Conductivity of the Financial Markets Based on Granger-Causality Model
This paper not only uses the bivariate vector autoregressive (BVAR) model to discuss Granger-Causality of stock markets and bases on the result of causality to study the conductivity of the financial markets, but also empirically analyze changing character of conductivity between up period and down period. The empirical results show that in the whole sample period Shanghai stork market and Shenzhen stork market mutually conducted, Singapore stork market and Shenzhen stork market mutually conducted, Singapore stork market to Shanghai is unidirectional conducted relationship. The conductivity of Shanghai, Shenzhen and Singapore stork market in down period is more complex and more intense than in up period.
financial market granger-causality bvar conductivity
Xueqin Zhang Hao Gong
School of Information Management,Chengdu University of Technology,Chengdu P.R.610059, China
国际会议
成都
英文
653-657
2010-07-09（万方平台首次上网日期，不代表论文的发表时间）