Analysis of the Linkage between China and US Stock Markets

DOI

10.2991/febm-17.2017.132How to use a DOI?

Keywords

stock markets; ADF; granger causality test; co-integration

Abstract

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.

Copyright

© 2017, the Authors. Published by Atlantis Press.

Open Access

This is an open access article distributed under the CC BY-NC license (http://creativecommons.org/licenses/by-nc/4.0/).

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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  - Proceedings of the 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  - 10.2991/febm-17.2017.132
ID  - Lin2017/10
ER  -