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Chinese stock market sector and its major overseas markets linkage between empirical research

Author: YuHuiPeng
Tutor: ChenPing
School: Nanjing University of Technology and Engineering
Course: Finance
Keywords: Cointegration Error-correction model Granger causality test Impulse response Variance decomposition
CLC: F832.51
Type: Master's thesis
Year: 2009
Downloads: 269
Quote: 2
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Abstract


Chinese stock market is an emerging market. Because of a late start, there has excessive government intervention and serious speculation in the market. These phenomena have shown that Chinese stock market was independent of other major stock markets of the world in the earlier years. In our stock market, the non-economic factors have a big effect on the stock indexes and the speculation is serious.Nowadays the dependence and influence among financial markets increase day by day. With the development of our stock market and the introduction of a number of related policies, the Chinese stock market have shown a certain degree of the same volatility trend compare with the major stock markets of the world. Therefore the analysis of the relationship between Chinese stock market and other major stock markets has a certain significance. Further, we have studied the relationship between Shanghai stock market and Shenzhen stock market and the relationship between stock market of A and B of Shanghai stock market. Finally, we studied the relationship between the indexes of different plates of Shanghai stock market. We got some conclusions from the empirical study.This paper gives a systematic and thorough analysis on the relationship among stock price behavior of Chinese stock market from theory to empirical research. The results of this paper have both theoretical and realistic meaning.

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CLC: > Economic > Fiscal, monetary > Finance, banking > China's financial,banking > Financial market
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