Analysis of relations between Shanghai-Shenzhen 300 index in China and the world's primary stock indexes

作者：Gao Ying; Jin Lili; Zou Yi

来源：6th Wuhan International Conference on E-Business, 2007-05-26 to 2007-05-27.

• stock index
• relation analysis
• VAR model
• Granger causality test
• co-integration test

The paper tested and analyzed the relations between Shangbai-Shenzhen 300 index (SHSZ300 index) in China and the world's primary stock indexes by VAR model, Granger causality test, impulse response analysis and Johansen co-integration test. The empirical results indicate that Shanghai-Shenzhen 300 index (SHSZ300 index) has short-term relations with the World's primary stock indexes and long-term co-integration relations with the world's primarX stock indexes except Nikkei Index. The world's primary stock indexes Granger cause Shanghai-Shenzhen 300 index (SHSZ300 index) significantly. Thus, China's stock market has-the same tendency with the,world's primary stock markets in a certain extent, The capital market in China possesses a linkage with the world's capital markets and is influenced by them.

• 出版日期2007
• 单位东北大学