Analysis of the linkage between China and US stock markets

被引：0

作者：

Lin, Dayan ^{[1
]}

Qi, Lei ^{[1
]}

机构：

[1] Nanjing Univ Sci & Technol, Sch Econ & Management, Nanjing 210094, Jiangsu, Peoples R China

来源：

PROCEEDINGS OF THE SECOND INTERNATIONAL CONFERENCE ON ECONOMIC AND BUSINESS MANAGEMENT (FEBM 2017) | 2017年 / 33卷

关键词：

Stock markets; ADF; granger causality test; co-integration;

D O I：

暂无

中图分类号：

F [经济];

学科分类号：

02 ;

摘要：

With the prosperity of China financial markets, the influence of China stock market is further enhanced. This paper analyses the linkage of China and US stock markets. The data consists weekly price index values for Shanghai Composite Index and the Nasdaq Index from 1991 to 2017. Results show that in all period US stock market has a single Granger causality with China market. China and US stock market have causal relationship with long-term stability after 2008 financial crisis, but there is one-way impact without long-term stability before the crisis. Finally, this paper explores that development of China capital market and economic power contributes to the results.

引用

页码：982 / 988

页数：7