DocumentCode
575719
Title
Correlation analysis of CSI 300, S&P 500 index and the Hang Seng Index
Author
Wu, Yongxing
Author_Institution
Sch. of Finance, Yunnan Univ. of Financial & Econ., Kunming, China
Volume
2
fYear
2012
fDate
20-21 Oct. 2012
Firstpage
70
Lastpage
73
Abstract
After Analyzed the correlation of CSI 300, S&P 500 index and the Hang Seng Index by co- integration test, Grainger causality test and Variance decomposition method. It can be seen from the result that S&P 500 index has no impact on CSI 300 over a long period of time but has a positive short-term effect on it. While the Hang Seng Index always has a positive effect on CSI 300. The change of CSI 300 is mainly influenced by its own factors.
Keywords
stock markets; CSI 300; Grainger causality test; Hang Seng index; S&P 500 index; cointegration test; correlation analysis; variance decomposition; Co-integration test; Correlation analysis; Variance decomposition; share index;
fLanguage
English
Publisher
ieee
Conference_Titel
Information Management, Innovation Management and Industrial Engineering (ICIII), 2012 International Conference on
Conference_Location
Sanya
Print_ISBN
978-1-4673-1932-4
Type
conf
DOI
10.1109/ICIII.2012.6339780
Filename
6339780
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