Comovements Between the China and International Stock Markets

摘要：

China has become a fourth world economy and is playing a much more important role than ever before in the world economy. In this paper, we study the relationship between the China and international main stock markets, using four Indexes (United States S&P 500 Index, London Index, Nikkei 225 Index and Chinas Shanghai Composite Index), applying the method of cointegration test and Granger causality test in the following three stages: January I, 2000 to December 31, 2002; January 1, 2003 to December 31, 2006 and January 1, 2007 to August 18, 2009. The empirical results suggest that developed countries stock markets showed strong comovements since the first stage, while the China and developed countries stock markets began to show comovements at the third stage.

关键词： stock price index comovement cointegration test granger causality test

作者: Sun Nannan Wang Xuefeng

作者单位: School of Economics and Management, Harbin Institute of Technology, Harbin, 150001,China

会议类型: 国际会议

会议名称: 2010 International Conference on Management Science and Safety Engineering(2010管理科学与安全工程国际会议 MSSE 2010)

会议地点: 烟台

会议语种:英文

页码: 479-484

在线出版日期: 2010-08-06（万方平台首次上网日期，不代表论文的发表时间）