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
相关论文
共 50 条
  • [41] Foreign Investment and Stock Price Informativeness: Evidence From the Shanghai (Shenzhen)-Hong Kong Stock Connect
    Lei, Zhen
    Lu, Haitian
    [J]. JOURNAL OF ACCOUNTING AUDITING AND FINANCE, 2024, 39 (01): : 181 - 204
  • [42] Capital market opening and green innovation--Evidence from Shanghai-Hong Kong stock connect and the Shenzhen-Hong Kong stock connect
    Sha, Yezhou
    Zhang, Ping
    Wang, Yiru
    Xu, Yifan
    [J]. ENERGY ECONOMICS, 2022, 111
  • [43] Analysis of Return and Volatility Spillover Effect of the Real Estate Stock Markets between Hong Kong, Shenzhen and Shanghai: To Financial Crisis as a View
    Wang, Xiaomei
    Song, Chunmei
    [J]. PROCEEDINGS OF 2010 INTERNATIONAL CONFERENCE ON CONSTRUCTION AND REAL ESTATE MANAGEMENT, VOLS 1-3, 2010, : 1078 - 1081
  • [44] VOLATILITIES AND RETURN CO-MOVEMENTS AMONG STOCK MARKETS IN MAINLAND CHINA, HONG KONG, AND THE UNITED STATES
    Hou, Weijie
    Cui, Baisheng
    Song, Yuping
    Chen, Ying
    [J]. SINGAPORE ECONOMIC REVIEW, 2021,
  • [45] Internal Market Efficiency, Market Co-movement, and Cross-Market Efficiency: The Case of Hong Kong and Shanghai Stock Markets
    Asem E.
    Baulkaran V.
    Yalamova R.
    Zhang X.
    [J]. Asia-Pacific Financial Markets, 2017, 24 (4) : 253 - 267
  • [46] Work commitment among unemployed youth in Hong Kong, Shanghai and Tianjin
    Cheung, Chau-kiu
    Ngai, Ngan-pun
    Ngai, Steven Sek-yum
    [J]. INTERNATIONAL JOURNAL OF ADOLESCENCE AND YOUTH, 2012, 17 (2-3) : 65 - 83
  • [47] Dynamic correlation and volatility spillover between the stock markets of Shenzhen and Hong Kong
    Rao, C.
    Meng, Y.
    Li, P.
    [J]. SCIENTIA IRANICA, 2022, 29 (03) : 1716 - 1728
  • [48] Return and volatility spillovers effects: Evaluating the impact of Shanghai Hong Kong Stock Connect
    Huo, Rui
    Ahmed, Abdullahi D.
    [J]. ECONOMIC MODELLING, 2017, 61 : 260 - 272
  • [49] Volatility spillover between the Korean KOSPI and the Hong Kong HSI stock markets
    Baek, Eun-Ah
    Oh, Man-Suk
    [J]. COMMUNICATIONS FOR STATISTICAL APPLICATIONS AND METHODS, 2016, 23 (03) : 203 - 213
  • [50] Differentiated Markets: Shanghai, Beijing and Hong Kong in China's Financial Centre Network
    Lai, Karen
    [J]. URBAN STUDIES, 2012, 49 (06) : 1275 - 1296
12345