An Empirical Study on the Linkage Effect between Shanghai Composite Index and Standard & Poor's 500 Index

被引：0

作者：

Luo, Lingyun ^{[1
]}

Li, Chenggang ^{[1
]}

Hu, Jue ^{[2
]}

机构：

[1] Guizhou Univ Finance & Econ, Fac Finance, Guiyang, Guizhou, Peoples R China

[2] Hunan Univ Technol, Fac Life Sci & Chem, Zhuzhou, Peoples R China

来源：

PROCEEDINGS OF THE 7TH INTERNATIONAL CONFERENCE ON EDUCATION, MANAGEMENT, INFORMATION AND COMPUTER SCIENCE (ICEMC 2017) | 2017年 / 73卷

关键词：

Linkage effect; VAR mode; Impulse response function; Variance decomposition;

D O I：

暂无

中图分类号：

TP301 [理论、方法];

学科分类号：

081202 ;

摘要：

In this paper, we use the R language to establish the VAR model, select the daily data of the Shanghai Composite Index and the S & P 500 index from April 5, 2012 to December 24, 2016, and analyze the linkage effect between the two indices through the impulse response and variance decomposition function. The results show that the S & P 500 index has major lagged impact on the Shanghai Composite Index, while the Shanghai Composite Index has little lagged impact on the S & P 500 index. The impulse response function results show that the Shanghai index expands its own impulse response stimulus on the S & P 500 index. The variance decomposition analysis shows that the variance of the forecast error of the Shanghai Composite Index is mainly due to its own time. The S & P 500 index forecast variance increases with time, and the Shanghai Composite Index occupies an increasing proportion.

引用

页码：434 / 439

页数：6

共 50 条

[1] Volatility models and empirical study on Shanghai composite index
Wang, Lian
Wang, Liming
[J]. PROCEEDINGS OF THE INTERNATIONAL SYMPOSIUM ON FINANCIAL ENGINEERING AND RISK MANAGEMENT 2008, 2008, : 71 - 76
[2] Directed association network analysis on the Standard and Poor’s 500 Index
Zhaoyang Li
Yuehan Yang
[J]. Computational Economics, 2024, 63 : 111 - 127
[3] Directed association network analysis on the Standard and Poor's 500 Index
Li, Zhaoyang
Yang, Yuehan
[J]. COMPUTATIONAL ECONOMICS, 2024, 63 (01) : 111 - 127
[4] INTRADAY RELATIONSHIPS BETWEEN VOLATILITY IN STANDARD-AND-POOR-500 FUTURES PRICES AND VOLATILITY IN THE STANDARD-AND-POOR-500 INDEX
KAWALLER, IG
KOCH, PD
KOCH, TW
[J]. JOURNAL OF BANKING & FINANCE, 1990, 14 (2-3) : 373 - 397
[5] Empirical Analysis to the Selections of the Threshold: A Case Study of Shanghai Composite Index
Pan, Wenrong
Qin, Hui
Duan, Junping
[J]. 2014 4TH INTERNATIONAL CONFERENCE ON APPLIED SOCIAL SCIENCE (ICASS 2014), PT 1, 2014, 51 : 99 - 104
[6] COMMON VOLATILITY IN STANDARD-AND-POOR-500 STOCK INDEX AND STANDARD-AND-POOR-500 INDEX FUTURES PRICES DURING OCTOBER 1987
ARSHANPALLI, B
DOUKAS, J
[J]. JOURNAL OF FUTURES MARKETS, 1994, 14 (08) : 915 - 925
[7] INTRADAY MARKET BEHAVIOR AND THE EXTENT OF FEEDBACK BETWEEN STANDARD-AND-POOR-500 FUTURES PRICES AND THE STANDARD-AND-POOR-500 INDEX
KAWALLER, IG
KOCH, PD
KOCH, TW
[J]. JOURNAL OF FINANCIAL RESEARCH, 1993, 16 (02) : 107 - 121
[8] An Empirical Study on the Linkage between SSE 50 Stock Index Futures and Stock Index Spot
Chen Jia
Chen Xiaoqian
[J]. PROCEEDINGS OF THE 2017 3RD INTERNATIONAL CONFERENCE ON HUMANITIES AND SOCIAL SCIENCE RESEARCH (ICHSSR 2017), 2017, 121 : 289 - 293
[9] An Empirical Study of RBF Network Used for Forecasting the Shanghai Composite Index Based on Matlab
Mi, ZhongChun
Huang, Zhe
[J]. PROCEEDINGS OF THE SECOND INTERNATIONAL CONFERENCE ON MODELLING AND SIMULATION (ICMS2009), VOL 6, 2009, : 181 - 186
[10] Standard and poor's depository receipts and the performance of the S&P 500 index futures market
Switzer, LN
Varson, PL
Zghidi, S
[J]. JOURNAL OF FUTURES MARKETS, 2000, 20 (08) : 705 - 716

← 1 2 3 4 5 →