Title :
Contributing Factors Analysis of China Stock Markets Causality Based on Scales
Author :
Mei, Shiqiang ; Xu, Mei
Author_Institution :
Sch. of Manage., Tianjin Univ., Tianjin, China
Abstract :
The Granger causality test is combined with the wavelet multi-resolution analysis to decompose the return series of stock markets index into different scale components. From the aspect of scale components, the reason that causality from Shanghai stock market return to Shenzhen´s is valid and the reverse causality is invalid is analyzed. The conclusion can be the prove for studying the relationship between the two markets together with its causes and trend.
Keywords :
causality; stock markets; wavelet transforms; China stock markets causality; Granger causality test; factors analysis; scale components; stock markets index; wavelet multiresolution analysis; Equations; Reactive power; Statistical analysis; Stock markets; Testing; Wavelet analysis;
Conference_Titel :
Management and Service Science, 2009. MASS '09. International Conference on
Conference_Location :
Wuhan
Print_ISBN :
978-1-4244-4638-4
Electronic_ISBN :
978-1-4244-4639-1
DOI :
10.1109/ICMSS.2009.5301240
