Analysis of the linkage between China and US stock markets
With the prosperity of China financial markets,the influence of China stock market is further enhanced.This paper analyses the linkage of China and US stock markets.The data consists weekly price index values for Shanghai Composite Index and the Nasdaq Index from 1991 to 2017.Results show that in all period US stock market has a single Granger causality with China market.China and US stock market have causal relationship with long-term stability after 2008 financial crisis,but there is one-way impact without long-term stability before the crisis.Finally,this paper explores that development of China capital market and economic power contributes to the results.
Stock markets ADF granger causality test co-integration
Dayan Lin Lei Qi
School of Economics and Management,Nanjing University of Science and Technology,Nanjing 210094
国际会议
上海
英文
982-988
2017-10-21（万方平台首次上网日期，不代表论文的发表时间）