Study on Integration Trend of Fluctuation of Hong Kong Stock Market and Shanghai and Shenzhen Stock Market

被引：0
|
作者：
An Jingwen [1 ]
Zhao Linfeng [2 ]
机构：
[1] China Univ Min & Technol Beijing, Coll Management, Beijing 100083, Peoples R China
[2] China Univ Min & Technol Beijing, Coll Resources & Safety Engn, Beijing 100083, Peoples R China
来源：
CALL OF PAPER PROCEEDINGS OF 2008 INTERNATIONAL CONFERENCE ON MANAGEMENT SCIENCE AND ENGINEERING | 2008年
关键词：
stock market; integration; time change relevancy; cointegration test; Granger causality test;
D O I：
暂无
中图分类号：
F8 [财政、金融];
学科分类号：
0202 ;
摘要：
The article examines daily market index data of Hong Kong, Shanghai and Shenzhen stock markets from 1997 to 2007, and analyses fluctuation link trend between two regions' stock markets. Using multivariate GARCH model to fit stock market's time change related coefficients, and through Johansen cointegration 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.
引用
收藏
页码：1052 / +
页数：3
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