Empirical Analysis on the Correlation Between Shanghai Composite Index and Major Stock Index

Liu Jialing

doi:doi:10.11648/j.si.20170505.24

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Empirical Analysis on the Correlation Between Shanghai Composite Index and Major Stock Index

Liu Jialing

Published in Science Innovation (Volume 5, Issue 5)

Received: 7 August 2017 Published: 16 August 2017

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Abstract

With the development of economic globalization and financial liberalization, the linkage between the world's economies has been strengthened, and the linkage between financial markets has become more and more obvious. In this paper, Shanghai (securities) composite index, Shenzhen composite index, Hang Seng Index, Dow Jones Industrial Average and Nikkei 225 Index are used as samples from January 4, 2006 to April 28, 2016, and the error correction model and impulse response were used. The results show that there is a balanced relationship between Shanghai Composite Index and the Shenzhen Component Index, Hang Seng Index, Nikkei 225 Index and Dow Jones Industrial Average, and Shanghai Composite Index did Granger Cause Shenzhen Composite Index and Hang Seng Index, but did not Granger cause Dow Jones Industrial Average and Nikkei 225 index, which indicates that the Shanghai Composite Index has less impact on Dow Jones Industrial Average and Nikkei 225 index. China's financial deepening and reform has a long way to go.

Published in	Science Innovation (Volume 5, Issue 5)
DOI	10.11648/j.si.20170505.24
Page(s)	318-324
Creative Commons	This is an Open Access article, distributed under the terms of the Creative Commons Attribution 4.0 International License (http://creativecommons.org/licenses/by/4.0/), which permits unrestricted use, distribution and reproduction in any medium or format, provided the original work is properly cited.
Copyright	Copyright © The Author(s), 2017. Published by Science Publishing Group

Keywords

Stock Market Correlation, Error Correction Model, Impulse Response

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APA Style

Liu Jialing. (2017). Empirical Analysis on the Correlation Between Shanghai Composite Index and Major Stock Index. Science Innovation, 5(5), 318-324. https://doi.org/10.11648/j.si.20170505.24

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ACS Style

Liu Jialing. Empirical Analysis on the Correlation Between Shanghai Composite Index and Major Stock Index. Sci. Innov. 2017, 5(5), 318-324. doi: 10.11648/j.si.20170505.24

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AMA Style

Liu Jialing. Empirical Analysis on the Correlation Between Shanghai Composite Index and Major Stock Index. Sci Innov. 2017;5(5):318-324. doi: 10.11648/j.si.20170505.24

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@article{10.11648/j.si.20170505.24,
  author = {Liu Jialing},
  title = {Empirical Analysis on the Correlation Between Shanghai Composite Index and Major Stock Index},
  journal = {Science Innovation},
  volume = {5},
  number = {5},
  pages = {318-324},
  doi = {10.11648/j.si.20170505.24},
  url = {https://doi.org/10.11648/j.si.20170505.24},
  eprint = {https://article.sciencepublishinggroup.com/pdf/10.11648.j.si.20170505.24},
  abstract = {With the development of economic globalization and financial liberalization, the linkage between the world's economies has been strengthened, and the linkage between financial markets has become more and more obvious. In this paper, Shanghai (securities) composite index, Shenzhen composite index, Hang Seng Index, Dow Jones Industrial Average and Nikkei 225 Index are used as samples from January 4, 2006 to April 28, 2016, and the error correction model and impulse response were used. The results show that there is a balanced relationship between Shanghai Composite Index and the Shenzhen Component Index, Hang Seng Index, Nikkei 225 Index and Dow Jones Industrial Average, and Shanghai Composite Index did Granger Cause Shenzhen Composite Index and Hang Seng Index, but did not Granger cause Dow Jones Industrial Average and Nikkei 225 index, which indicates that the Shanghai Composite Index has less impact on Dow Jones Industrial Average and Nikkei 225 index. China's financial deepening and reform has a long way to go.},
 year = {2017}
}

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TY  - JOUR
T1  - Empirical Analysis on the Correlation Between Shanghai Composite Index and Major Stock Index
AU  - Liu Jialing
Y1  - 2017/08/16
PY  - 2017
N1  - https://doi.org/10.11648/j.si.20170505.24
DO  - 10.11648/j.si.20170505.24
T2  - Science Innovation
JF  - Science Innovation
JO  - Science Innovation
SP  - 318
EP  - 324
PB  - Science Publishing Group
SN  - 2328-787X
UR  - https://doi.org/10.11648/j.si.20170505.24
AB  - With the development of economic globalization and financial liberalization, the linkage between the world's economies has been strengthened, and the linkage between financial markets has become more and more obvious. In this paper, Shanghai (securities) composite index, Shenzhen composite index, Hang Seng Index, Dow Jones Industrial Average and Nikkei 225 Index are used as samples from January 4, 2006 to April 28, 2016, and the error correction model and impulse response were used. The results show that there is a balanced relationship between Shanghai Composite Index and the Shenzhen Component Index, Hang Seng Index, Nikkei 225 Index and Dow Jones Industrial Average, and Shanghai Composite Index did Granger Cause Shenzhen Composite Index and Hang Seng Index, but did not Granger cause Dow Jones Industrial Average and Nikkei 225 index, which indicates that the Shanghai Composite Index has less impact on Dow Jones Industrial Average and Nikkei 225 index. China's financial deepening and reform has a long way to go.
VL  - 5
IS  - 5
ER  -

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Author Information

Liu Jialing

School of Economics, Shanghai University, Shanghai, China

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Plain Text BibTeX RIS

APA Style

Liu Jialing. (2017). Empirical Analysis on the Correlation Between Shanghai Composite Index and Major Stock Index. Science Innovation, 5(5), 318-324. https://doi.org/10.11648/j.si.20170505.24

Copy | Download

ACS Style

Liu Jialing. Empirical Analysis on the Correlation Between Shanghai Composite Index and Major Stock Index. Sci. Innov. 2017, 5(5), 318-324. doi: 10.11648/j.si.20170505.24

Copy | Download

AMA Style

Liu Jialing. Empirical Analysis on the Correlation Between Shanghai Composite Index and Major Stock Index. Sci Innov. 2017;5(5):318-324. doi: 10.11648/j.si.20170505.24

Copy | Download

@article{10.11648/j.si.20170505.24,
  author = {Liu Jialing},
  title = {Empirical Analysis on the Correlation Between Shanghai Composite Index and Major Stock Index},
  journal = {Science Innovation},
  volume = {5},
  number = {5},
  pages = {318-324},
  doi = {10.11648/j.si.20170505.24},
  url = {https://doi.org/10.11648/j.si.20170505.24},
  eprint = {https://article.sciencepublishinggroup.com/pdf/10.11648.j.si.20170505.24},
  abstract = {With the development of economic globalization and financial liberalization, the linkage between the world's economies has been strengthened, and the linkage between financial markets has become more and more obvious. In this paper, Shanghai (securities) composite index, Shenzhen composite index, Hang Seng Index, Dow Jones Industrial Average and Nikkei 225 Index are used as samples from January 4, 2006 to April 28, 2016, and the error correction model and impulse response were used. The results show that there is a balanced relationship between Shanghai Composite Index and the Shenzhen Component Index, Hang Seng Index, Nikkei 225 Index and Dow Jones Industrial Average, and Shanghai Composite Index did Granger Cause Shenzhen Composite Index and Hang Seng Index, but did not Granger cause Dow Jones Industrial Average and Nikkei 225 index, which indicates that the Shanghai Composite Index has less impact on Dow Jones Industrial Average and Nikkei 225 index. China's financial deepening and reform has a long way to go.},
 year = {2017}
}

Copy | Download

TY  - JOUR
T1  - Empirical Analysis on the Correlation Between Shanghai Composite Index and Major Stock Index
AU  - Liu Jialing
Y1  - 2017/08/16
PY  - 2017
N1  - https://doi.org/10.11648/j.si.20170505.24
DO  - 10.11648/j.si.20170505.24
T2  - Science Innovation
JF  - Science Innovation
JO  - Science Innovation
SP  - 318
EP  - 324
PB  - Science Publishing Group
SN  - 2328-787X
UR  - https://doi.org/10.11648/j.si.20170505.24
AB  - With the development of economic globalization and financial liberalization, the linkage between the world's economies has been strengthened, and the linkage between financial markets has become more and more obvious. In this paper, Shanghai (securities) composite index, Shenzhen composite index, Hang Seng Index, Dow Jones Industrial Average and Nikkei 225 Index are used as samples from January 4, 2006 to April 28, 2016, and the error correction model and impulse response were used. The results show that there is a balanced relationship between Shanghai Composite Index and the Shenzhen Component Index, Hang Seng Index, Nikkei 225 Index and Dow Jones Industrial Average, and Shanghai Composite Index did Granger Cause Shenzhen Composite Index and Hang Seng Index, but did not Granger cause Dow Jones Industrial Average and Nikkei 225 index, which indicates that the Shanghai Composite Index has less impact on Dow Jones Industrial Average and Nikkei 225 index. China's financial deepening and reform has a long way to go.
VL  - 5
IS  - 5
ER  -

Copy | Download