Causal Analysis of Hong Kong Stock Market

被引：0

作者：

Yao Feng ^{[1
]}

Dai Shugeng ^{[2
]}

Li Yao ^{[3
]}

机构：

[1] Kagawa Univ, Fac Econ, Takamatsu, Kagawa 7608523, Japan

[2] Xiamen Univ, Dept Finance, Xiamen 361005, Peoples R China

[3] Jilin Univ, Coll Northeast Asian Studies, Changchun 130012, Jilin, Peoples R China

来源：

PROCEEDINGS OF THE 9TH (2017) INTERNATIONAL CONFERENCE ON FINANCIAL RISK AND CORPORATE FINANCE MANAGEMENT | 2017年

关键词：

ECM; Financial Engineering; Granger's non-causality; Modeling Technique; One-way Effect Causality; Stock Market; VOLATILITY;

D O I：

暂无

中图分类号：

K9 [地理];

学科分类号：

0705 ;

摘要：

In this paper we apply the one-way effect causal measure and its Wald test (Yao & Hosoya (2000), Yao (2007)) to investigate the stock market causal relationships between Hong Kong, the US and Japan in time domain and frequency domain. Based on error correction model for daily observations of Hang Seng Index, Dow Jones Industrial Average, and Nikkei 225, we discussed the characteristics of stock market before and after 1 July 1997, the Return of Hong Kong in China. Furthermore, the long-run and short-run causal relations are also discussed in view of the Wald test of local one-way effect.

引用

页码：69 / 74

页数：6

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