DocumentCode
2288554
Title
Study on time change relevancy of China stock market
Author
An, Jing-Wen ; Zhao, Qing-Bin ; Xu, Bei-Chen ; Zhao, Lin-Feng
Author_Institution
Sch. of Manage., China Univ. of Min. & Technol., Beijing, China
fYear
2009
fDate
14-16 Sept. 2009
Firstpage
1403
Lastpage
1409
Abstract
The article examines daily market index data of China stock markets from 1998 to 2008, and analyses fluctuation link trend between two regions´ stock markets. Through Johansen co-integration test and Granger causality test, the paper finds the link between Shanghai and Shenzhen stock markets and Hong Kong stock market has become more closely linked and integration trend is remarkable. The strong relevancy effectively reduces risk by making diversified investment in two regions.
Keywords
investment; risk analysis; stock markets; China stock market; Granger causality test; Hong Kong; Johansen co-integration test; Shanghai; Shenzhen; daily market index data; diversified investment; fluctuation link; risk reduction; time change relevancy; Conference management; Data engineering; Engineering management; Investments; Macroeconomics; Portfolios; Resource management; Stock markets; Technology management; Testing; risk; stock market; test; time change relevancy;
fLanguage
English
Publisher
ieee
Conference_Titel
Management Science and Engineering, 2009. ICMSE 2009. International Conference on
Conference_Location
Moscow
Print_ISBN
978-1-4244-3970-6
Electronic_ISBN
978-1-4244-3971-3
Type
conf
DOI
10.1109/ICMSE.2009.5317967
Filename
5317967
Link To Document