{"title":"Notice of RetractionEmpirical analysis of the correlation between Chinese and American stock market","authors":"Hongxia Wang","doi":"10.1109/ICEMMS.2011.6015715","DOIUrl":null,"url":null,"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.","PeriodicalId":240398,"journal":{"name":"2011 2nd IEEE International Conference on Emergency Management and Management Sciences","volume":"34 1","pages":"0"},"PeriodicalIF":0.0000,"publicationDate":"2011-09-08","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":"0","resultStr":null,"platform":"Semanticscholar","paperid":null,"PeriodicalName":"2011 2nd IEEE International Conference on Emergency Management and Management Sciences","FirstCategoryId":"1085","ListUrlMain":"https://doi.org/10.1109/ICEMMS.2011.6015715","RegionNum":0,"RegionCategory":null,"ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":null,"EPubDate":"","PubModel":"","JCR":"","JCRName":"","Score":null,"Total":0}
引用次数: 0
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.