Title :
The research on stock market co-movement among China mainland, Hongkong and America
Author :
Pan, Wenrong ; Wang, Yang
Author_Institution :
Coll. of Finance & Stat., Jiangxi Univ. of Finance & Econ., Nanchang, China
Abstract :
The paper uses correlation analysis, unit-root test, co-integration test and Granger-causality test to analyze the stock market co-movement among China mainland, Hongkong and America from November 15, 2002 to December 31, 2008. In conclusion, there is a stock market co-movement relationship among China mainland, Hongkong and America after China government implemented QFII mechanism in November 15, 2002. The trend of one of the three markets can be inferred according to the other two markets.
Keywords :
causality; stock markets; Granger causality test; QFII mechanism; cointegration test; correlation analysis; qualified foreign institutional investors; stock market comovement; unit root test; Agriculture; Cultural differences; Data engineering; Economic indicators; Finance; Humans; Performance analysis; Production; Region 5; Stock markets; America; China main land; Hongkong; stock market co-movement;
Conference_Titel :
Financial Theory and Engineering (ICFTE), 2010 International Conference on
Conference_Location :
Dubai
Print_ISBN :
978-1-4244-7757-9
Electronic_ISBN :
978-1-4244-7759-3
DOI :
10.1109/ICFTE.2010.5499434
