Title :
Notice of Retraction
Empirical analysis of the correlation between Chinese and American stock market
Author_Institution :
Sch. of Manage. & Econ., Beijing Inst. of Technol., Beijing, China
Abstract :
Notice of Retraction
After careful and considered review of the content of this paper by a duly constituted expert committee, this paper has been found to be in violation of IEEE´s Publication Principles.
We hereby retract the content of this paper. Reasonable effort should be made to remove all past references to this paper.
The presenting author of this paper has the option to appeal this decision by contacting TPII@ieee.org.
With the process of the economic globalization, the correlation between China and America stock markets is becoming increasingly significant. In this paper, we take the Shanghai (securities) Composite Index and the Standard & Poor´s 500 index as subjects. We study the original data of these two markets´ daily returns in a time period of 1994-2010. Using the analyzing software EVIEWS5.0, we firstly build the VAR model between the daily returns, moreover apply the Granger causality test to study their relationship, and then make a further study by using the Impulse Test and the Variance Decomposition test to conclude the correlation pattern of China and U.S. stock markets.
Keywords :
autoregressive processes; globalisation; securities trading; Chinese-American stock market; EVIEWS5.0 software; Granger causality test; Shanghai composite index; Standard & Poor index; VAR model; correlation; daily returns; economic globalization; impulse test; variance decomposition test; Analytical models; Educational institutions; Reactive power; Stock markets; Correlation test; Return; Stock co-movement;
Conference_Titel :
Emergency Management and Management Sciences (ICEMMS), 2011 2nd IEEE International Conference on
Conference_Location :
Beijing
Print_ISBN :
978-1-4244-9665-5
DOI :
10.1109/ICEMMS.2011.6015715
