Causal Analysis of Hong Kong Stock Market

摘要：

　　In this paper we apply the one-way effect causal measure and its Wald test (Yao & Hosoya (2000), Yao (2007)) to investigate the stock market causal relationships between Hong Kong, the US and Japan in time domain and frequency domain.Based on error correction model for daily observations of Hang Seng Index, Dow Jones Industrial Average, and Nikkei 225, we discussed the characteristics of stock market before and after 1 July 1997, the Return of Hong Kong in China.Furthermore, the long-run and short-run causal relations are also discussed in view of the Wald test of local one-way effect.

关键词： ECM Financial Engineering Grangers non-causality Modeling Technique One-way Effect Causality Stock Market

作者: YAO Feng DAI Shugeng LI Yao

作者单位: Faculty of Economics, Kagawa University, Takamatsu, Japan, 7608523 Department of Finance, Xiamen University, Xiamen, China, 361005 College of Northeast Asian Studies, Jilin University, Changchun, China, 130012

会议类型: 国际会议

会议名称: The 9th (2017)International Conference on Financial Risk and Corporate Finance Management(第九届(2017)金融风险与公司金融国际研讨会)

会议地点: 日本

会议语种:英文

页码: 69-74

在线出版日期: 2017-07-01（万方平台首次上网日期，不代表论文的发表时间）