DocumentCode
2855465
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
fYear
2010
fDate
18-20 June 2010
Firstpage
3
Lastpage
7
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;
fLanguage
English
Publisher
ieee
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
Type
conf
DOI
10.1109/ICFTE.2010.5499434
Filename
5499434
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