Proceedings of the 1st International Conference on E-Business Intelligence (ICEBI 2010)

Empirical Analysis on the Correlation between Chinese Stock Markets and Developed Oversea Markets

Authors
Feng Liu, Qiang Ye, Yi-jun Li
Corresponding Author
Feng Liu
Available Online December 2010.
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/).

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Volume Title
Proceedings of the 1st International Conference on E-Business Intelligence (ICEBI 2010)
Series
Advances in Intelligent Systems Research
Publication Date
December 2010
ISBN
10.2991/icebi.2010.14
ISSN
1951-6851
DOI
10.2991/icebi.2010.14How to use a DOI?
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  -