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

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