Empirical Analysis of the correlation between Chinese and American Stock Market

摘要：

With the process of the economic globalization, the correlation between China and America stock markets is becoming increasingly significant. In this paper, we take the Shanghai (securities) Composite Index and the Standard & Poors 500 index as subjects. We study the original data of these two markets daily returns in a time period of 1994-2010. Using the analyzing software EVIEWS5.0, we firstly build the VAR model between the daily returns, moreover apply the Granger causality test to study their relationship, and then make a further study by using the Impulse Test and the Variance Decomposition test to conclude the correlation pattern of China and U.S. Stock markets.

关键词： Stock co-movement Correlation test Return

作者: Hongxia Wang

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

会议类型: 国际会议

会议名称: 2011 2nd IEEE International Conference on Emergency Management and Management Sciences(2011年第二届IEEE应急管理与管理科学国际会议 ICEMMS 2011)

会议地点: 北京

会议语种:英文

页码: 443-446

在线出版日期: 2011-08-08（万方平台首次上网日期，不代表论文的发表时间）