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Title: |
Integration and Fluctuation Analysis for Stock Market: Hong Kong, Shanghai and Shenzhen |
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Source: |
International Conference on Network and Finance Development (NFD 2010 PAPERBACK)
(pp 200-204)
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Author(s): |
Miao Nie, School of Management, Henan University of Technology, Zhengzhou, China
Gang Li, Department of Environment Engineering, Henan Institute of Engineering, Zhengzhou, China |
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Abstract: |
Based on the daily market index data of Hong Kong, Shanghai and Shenzhen stock markets from 1997 to 2009, this paper analyses fluctuation linkage between three stock markets. By using multivariate GARCH model to fit stock market’s time change related coefficients, and through Johansen co-integration test and Granger causality test, the research results indicate that the link between Shanghai and Shenzhen stock markets and Hong Kong stock market has become more closely linked and integration trend is significant.
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