Integration and Fluctuation Analysis for Stock Market: Hong Kong, Shanghai and ShenzhenAC

被引：0

作者：

Nie, Miao ^{[1
]}

Li, Gang ^{[1
]}

机构：

[1] Henan Univ Technol, Sch Management, Zhengzhou 450000, Peoples R China

来源：

NFD 2010: INTERNATIONAL CONFERENCE ON NETWORK AND FINANCE DEVELOPMENT | 2010年

关键词：

co-integration test; granger causality test; integration; stock market component; formatting; style; styling; insert; COINTEGRATION;

D O I：

暂无

中图分类号：

F8 [财政、金融];

学科分类号：

0202 ;

摘要：

Based on the daily market index data of Hong Kon g, Shanghai and Shenzhen stock markets from 1997 to 2009, this paper analyses fluctuation linkage between three stock markets. By using multivariate GARCH model to fit stock market's time change related coefficients, and through Johansen co-integration test and Granger causality test, the research results indicate that the link between Shanghai and Shenzhen stock markets and Hong Kong stock market has become more closely linked and integration trend is significant.

引用

页码：200 / +

页数：3

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