The Research on Cointegration between Different Prices in International Stock Market

被引：0

作者：

Zhao, Dali ^{[1
]}

机构：

[1] Huazhong Univ Sci & Technol, Sch Econ, Wuhan, Peoples R China

来源：

AFFECTIVE COMPUTING AND INTELLIGENT INTERACTION | 2012年 / 137卷

关键词：

Index of stock; Unit root test; Cointegration test; ECM;

D O I：

暂无

中图分类号：

TP18 [人工智能理论];

学科分类号：

081104 ; 0812 ; 0835 ; 1405 ;

摘要：

According to the daily data from 1990 to 2005, this paper investigate whether there is cointegration relationship between S & P 500 index and Britain's FTSE 100 index. Hong Kong's Hang Seng index, the Nikkei 225 index or not in a empirical way. It showed that there were cointegration between S & P 500 index and Britain's FTSE 100 index. the Nikkei 225 index independently, while there was no cointegration between S & P500 Index and the Hang Seng Index in Hong Kong. This conclusion was in line with international capital markets operation.

引用

页码：903 / 908

页数：6

共 7 条

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