DocumentCode
2078652
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
fYear
2009
fDate
20-22 Sept. 2009
Firstpage
1
Lastpage
4
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;
fLanguage
English
Publisher
ieee
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
Type
conf
DOI
10.1109/ICMSS.2009.5301240
Filename
5301240
Link To Document