Proceedings of the Second International Conference On Economic and Business Management (FEBM 2017)

Analysis of the Linkage between China and US Stock Markets

Authors
Dayan Lin, Lei Qi
Corresponding Author
Dayan Lin
Available Online October 2017.
DOI
https://doi.org/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.
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This is an open access article distributed under the CC BY-NC license.

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Proceedings
Second International Conference On Economic and Business Management (FEBM 2017)
Part of series
Advances in Economics, Business and Management Research
Publication Date
October 2017
ISBN
978-94-6252-423-1
ISSN
2352-5428
DOI
https://doi.org/10.2991/febm-17.2017.132How to use a DOI?
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  -