Abstract:
After Analyzed the correlation of CSI 300, S&P 500 index and the Hang Seng Index by co- integration test, Grainger causality test and Variance decomposition method. It ca...Show MoreMetadata
Abstract:
After Analyzed the correlation of CSI 300, S&P 500 index and the Hang Seng Index by co- integration test, Grainger causality test and Variance decomposition method. It can be seen from the result that S&P 500 index has no impact on CSI 300 over a long period of time but has a positive short-term effect on it. While the Hang Seng Index always has a positive effect on CSI 300. The change of CSI 300 is mainly influenced by its own factors.
Published in: 2012 International Conference on Information Management, Innovation Management and Industrial Engineering
Date of Conference: 20-21 October 2012
Date Added to IEEE Xplore: 25 October 2012
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