| Article ID | Journal | Published Year | Pages | File Type |
|---|---|---|---|---|
| 10480689 | Physica A: Statistical Mechanics and its Applications | 2012 | 9 Pages |
Abstract
⺠The Shanghai stock market and the exchange rate of CNY/USD are significantly cross-correlated. ⺠The cointegration in recent literature is artificially caused by the recent financial crisis. ⺠There was no causality relationship between exchange rate and the stock market before the global financial crisis. ⺠There are both linear and nonlinear causality relationships from exchange rates to stock market after the financial crisis.
Related Topics
Physical Sciences and Engineering
Mathematics
Mathematical Physics
Authors
Li Liu, Jieqiu Wan,