کد مقاله کد نشریه سال انتشار مقاله انگلیسی نسخه تمام متن
10481154 933057 2013 11 صفحه PDF دانلود رایگان
عنوان انگلیسی مقاله ISI
Testing for relationships between Shanghai and Shenzhen stock markets: A threshold cointegration perspective
ترجمه فارسی عنوان
تست روابط بین بازار سهام شانگهای و شنژن: دیدگاه همبستگی آستانه
موضوعات مرتبط
مهندسی و علوم پایه ریاضیات فیزیک ریاضی
چکیده انگلیسی
We investigate the relationships between Shanghai and Shenzhen stock market, and reveal the evidence of cross-correlations between the two stock markets. Our main findings show that Shanghai and Shenzhen stock market are cointegrated, and also present the evidence of strong error-correction effect in the short-rate equation, whereas the point estimate for the error-correction term is small and not statistical significance in the long-rate equation. Finally, Shanghai stock market ECT coefficient shows the evidence of long-term equilibrium in the first regime, while in the second regime the coefficient of correction term is larger than that of the first regime, indicating the rate convergence to long-term equilibrium is not uniform.
ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: Physica A: Statistical Mechanics and its Applications - Volume 392, Issue 18, 15 September 2013, Pages 4064-4074
نویسندگان
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