Title :
Correlation analysis of CSI 300, S&P 500 index and the Hang Seng Index
Author_Institution :
Sch. of Finance, Yunnan Univ. of Financial & Econ., Kunming, China
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;
Conference_Titel :
Information Management, Innovation Management and Industrial Engineering (ICIII), 2012 International Conference on
Conference_Location :
Sanya
Print_ISBN :
978-1-4673-1932-4
DOI :
10.1109/ICIII.2012.6339780
