Title :
Study on time change relevancy of China stock market
Author :
An, Jing-Wen ; Zhao, Qing-Bin ; Xu, Bei-Chen ; Zhao, Lin-Feng
Author_Institution :
Sch. of Manage., China Univ. of Min. & Technol., Beijing, China
Abstract :
The article examines daily market index data of China stock markets from 1998 to 2008, and analyses fluctuation link trend between two regions´ stock markets. Through Johansen co-integration test and Granger causality test, the paper finds the link between Shanghai and Shenzhen stock markets and Hong Kong stock market has become more closely linked and integration trend is remarkable. The strong relevancy effectively reduces risk by making diversified investment in two regions.
Keywords :
investment; risk analysis; stock markets; China stock market; Granger causality test; Hong Kong; Johansen co-integration test; Shanghai; Shenzhen; daily market index data; diversified investment; fluctuation link; risk reduction; time change relevancy; Conference management; Data engineering; Engineering management; Investments; Macroeconomics; Portfolios; Resource management; Stock markets; Technology management; Testing; risk; stock market; test; time change relevancy;
Conference_Titel :
Management Science and Engineering, 2009. ICMSE 2009. International Conference on
Conference_Location :
Moscow
Print_ISBN :
978-1-4244-3970-6
Electronic_ISBN :
978-1-4244-3971-3
DOI :
10.1109/ICMSE.2009.5317967
