Empirical Analysis on the Correlation between Chinese Stock Markets and Developed Oversea Markets
- DOI
- 10.2991/icebi.2010.14How to use a DOI?
- Keywords
- Relevance, Co-integration, Granger-causality, Chinese Stock Markets, Oversea Markets
- Abstract
Through the Johansen Co-integration test and the Granger-causality test, we found that the volatility in Chinese stock markets has been affected by the the volatility in United States stock market, however, we have not found that Chinese stock markets would co-move along with the United States market in the long run; Chinese stock markets and Hong Kong stock market have not only been influenced each other by fluctuations in two markets, but also shown a trend of comovement since 2005; the relationship between Chinese stock markets and Japanese market shows the trend of comovement between stock markets of two countries only out of regional economy since 2005, however, the volatility in one of which will not lead to fluctuations in another.
- Copyright
- © 2010, 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/).
Cite this article
TY - CONF AU - Feng Liu AU - Qiang Ye AU - Yi-jun Li PY - 2010/12 DA - 2010/12 TI - Empirical Analysis on the Correlation between Chinese Stock Markets and Developed Oversea Markets BT - Proceedings of the 1st International Conference on E-Business Intelligence (ICEBI 2010) PB - Atlantis Press SP - 87 EP - 93 SN - 1951-6851 UR - https://doi.org/10.2991/icebi.2010.14 DO - 10.2991/icebi.2010.14 ID - Liu2010/12 ER -