Research on the Relationships between Domestic and Foreign Stock Markets Based on Canonical Correlation Analysis

摘要：

　　With the continuous fusion of global financial markets, especially since the subprime crisis in 2008, the stock market in China and those in main developed countries are increasingly associated.In this paper, the canonical correlation analysis is used to study the relationships between Chinese stock market and main stock markets in the world.The empirical analysis shows that there is a significant correlation between Chinese stock market and international ones, the SZSE Composite Index has the closest relationship with foreign indexes, and the SZSE Component Index is weakly correlated with the S&P 500 Index and FTSE 100 Index.

关键词： Domestic and foreign stock markets Canonical correlation analysis Canonical loadings Canonical redundancy analysis

作者: ZHAO Guimei LIU Yichen

作者单位: Department of Statistics,North China University of Technology,P.R.China,100144

会议类型: 国际会议

会议名称: The 7th International Institute of Statistics & Management Engineering Symposium(IISMES2015) (第七届国际统计与管理工程学术研讨会)

会议地点: 山东 日照

会议语种:英文

页码: 400-403

在线出版日期: 2015-08-17（万方平台首次上网日期，不代表论文的发表时间）