Market Improvement, Changes of Correlated Structure and Contagion
With the implementation of related reform measures, the efficiency of Chinese securities market having been improved since it reflects information and psychological expectation factors better and better, which will result in some changes to correlated structure between securities markets of China to the other major economies. America exploded subprime mortgage crisis in 2007 which made world economy suffer from severe shocks. Combining the improvement of Chinese securities market and its correlated structure to other markets to investigate our sample by related test methods of vector autoregression (VAR) model, we find corresponding evidence for those views above.
market improvement VAR crisis contagion
Su Haijun Ouyang Hongbing
Department of finance Huazhong university of science and technology Wuhan, P.R.China
国际会议
太原
英文
356-359
2010-10-22（万方平台首次上网日期，不代表论文的发表时间）