An Empirical Study of Co-movement Change between China and U.S. Stock Market

摘要：

This paper discusses the dynamic linkages between China and U.S. stock marker. We use the p value of Granger causality test for the return rate of separated stock market periods. The conclusion is that the influence between China and U.S. has deepened.

关键词： stock cycle co-movement granger causality test

作者: LIU Hongming LI Aming ZHOU Minghua

作者单位: College of Science, Zhejiang University of Technology, Hangzhou, P.R.China, 310023

会议类型: 国际会议

会议名称: The 3rd International Institute of Statistics & Management Engineering Symposium(2010 国际统计与管理工程研讨会 IISMES)

会议地点: 威海

会议语种:英文

页码: 586-591

在线出版日期: 2010-07-24（万方平台首次上网日期，不代表论文的发表时间）