Analysis of the Linkage between China and US Stock Markets
Dayan Lin, Lei Qi
Available Online October 2017.
- https://doi.org/10.2991/febm-17.2017.132How to use a DOI?
- stock markets; ADF; granger causality test; co-integration
- 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.
- Open Access
- This is an open access article distributed under the CC BY-NC license.
Cite this article
TY - CONF AU - Dayan Lin AU - Lei Qi PY - 2017/10 DA - 2017/10 TI - Analysis of the Linkage between China and US Stock Markets BT - Second International Conference On Economic and Business Management (FEBM 2017) PB - Atlantis Press SP - 982 EP - 988 SN - 2352-5428 UR - https://doi.org/10.2991/febm-17.2017.132 DO - https://doi.org/10.2991/febm-17.2017.132 ID - Lin2017/10 ER -