Correlation Research Based on Cointegration between China In-market Social Security Funds and Development of China Stock Market
China Social Security Funds is operated in the capital market to meet the needs of the aging population and future health care reform, and the purpose is to preserve and increase its value. In recent years, the Social Security Funds has been investing part of its funds into the stock market, which not only boosting their own development but also playing a very important role in the development and expansion of the stock market. In this article, three indicators and Granger Causality test are used to analyze the cointegration. The first indicator is in-market Social Security Fund investment scale, the second is the Shanghai stock market liquidity indicators and the third one is Shanghai stock market trading volume. These indicators are able to have a better reflection of a countrys Social Security Funds and characteristics of stock market. Conclusions of this article are as follows: (1) In-market Social Security Funds investment scale is the Granger cause of the Shanghai Stock market liquidity, and vice versa.; (2) In-market Social Security Funds investment scale is the Granger cause of stock market trading volume, and vice versa.
Qingmin Yin Xiaoxue Song
HoHai University Business Scholl Nanjing, China HoHai University Business School Nanjing, China
国际会议
International Conference on Management and Service Science(2011年第五届管理与服务科学国际会议 MASS 2011)
武汉
英文
1-4
2011-08-12（万方平台首次上网日期，不代表论文的发表时间）