Studies on the Nonlinear Relatinships between Stocks Market in Mainland of China and Other Ones in the World
Keywords Stock market,nonlinearity,cointegration,grager causality test
In this paper, we test the long-term equilibrium relationship of stock market in mainland of China and other ones in the world by the linear cointegration and exponential smoothing transition autoregresion error correction model. We find contegration relationship between price index of stock market in mainland of China and others ones in the world except for in Japen. Fuither we test the short-term dynamics relationship of stock return in mainland of China and others in the world by linear and ononlinear Granger causality test, and find that Dow Jones Industrial Average Index and Financial Times and Stock Exchange index have a causal influence on the Shanghai Stock Exchange Composite Index,Shanghai Stock Exchange Composite Index Granger carses Hang Seng Index, and Shanghai Stock Exchange Composite Index and Nikkei 225 Index have a mutual Granger causality.
