Evolution of Correlations among Stock Markets in Hong Kong, Shanghai and the US

被引：0
|
作者：
Zhou, Wei [1 ]
机构：
[1] Renmin Univ China, Sch Finance, Beijing 100872, Peoples R China
来源：
PROCEEDINGS OF THE 3RD INTERNATIONAL CONFERENCE ON MANAGEMENT, MARKETING AND FINANCES: ADVANCES IN MARKETING, MANAGEMENT AND FINANCES | 2009年
关键词：
Stock Market; Moving Correlation Coefficient; the Hang Seng Index; the Shanghai Composite Index; S&P 500 Index;
D O I：
暂无
中图分类号：
F [经济];
学科分类号：
02 ;
摘要：
The paper examines weekly earnings data between January 2000 and August 2008 of Hong Kong's Hang Seng index, Shanghai Composite Index and the U.S. S & P 500 index, adopting the method of moving correlation coefficient series analysis and finding that the correlation between Hong Kong market and Shanghai market is in a trend of steadily increasing; Shanghai market and the U.S. market is of very low correlation, basically can be recognized as independent fluctuations; although Hong Kong market has been closely associated with the United States market, from 2007, with the stable increase in correlation with Shanghai market, the impact of the United States market on Hong Kong market is rapidly weakening, Hong Kong market is getting more influenced by Shanghai market.
引用
收藏
页码：49 / 55
页数：7
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