Notice of RetractionEmpirical analysis of the correlation between Chinese and American stock market

Hongxia Wang
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Abstract

With the process of the economic globalization, the correlation between China and America stock markets is becoming increasingly significant. In this paper, we take the Shanghai (securities) Composite Index and the Standard & Poor's 500 index as subjects. We study the original data of these two markets' daily returns in a time period of 1994-2010. Using the analyzing software EVIEWS5.0, we firstly build the VAR model between the daily returns, moreover apply the Granger causality test to study their relationship, and then make a further study by using the Impulse Test and the Variance Decomposition test to conclude the correlation pattern of China and U.S. stock markets.
撤回通知中美股市相关性的实证分析
随着经济全球化的进程,中美两国股市的相关性越来越显著。本文以上证综合指数和标准普尔500指数为研究对象。我们研究了1994-2010年这两个市场日收益的原始数据。运用分析软件EVIEWS5.0,首先建立了日收益之间的VAR模型,并运用格兰杰因果检验研究二者之间的关系,然后运用脉冲检验和方差分解检验进一步研究,得出中美股市的相关模式。
本文章由计算机程序翻译,如有差异,请以英文原文为准。
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