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
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کلمات کلیدی
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
Journal: Physica A: Statistical Mechanics and its Applications - Volume 392, Issue 18, 15 September 2013, Pages 4064-4074
نویسندگان
Xiaoqiang Lin, Zhenpeng Tang, Fangyu Fei,