Can the US stock market be Shanghaied?: Evidence of the impact of China's emerging stock market

Yijing Huang, F. Bacon
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引用次数: 4

Abstract

Purpose – The purpose of this paper is to examine the relationship between the US and China stock markets between 2000 and 2007. This study attempts to categorize the event on February 27, 2007, i.e. 9 per cent plunge in Shanghai stock market followed by the $1.5 trillion global market shake out, as irrational, i.e. herd mentality.Design/methodology/approach – To test for this relationship, the Morgan Stanley Capital International daily price index data was collected from April 15, 2002 to April 12, 2007. Daily Dow Jones Industrial Average (DJIA), Nikkei 225 (Nikkei), Hang Seng Index, and the Shanghai Stock Exchange Composite Index (SSECI) were collected from finance.yahoo.com from January 1, 2000 until April 3, 2007. The running beta and correlation coefficients, defined as the cumulative coefficients, are used to determine the co‐movement of the SSECI and DJIA.Findings – The strength of the relationship between the US and China stock markets has significantly increased since 2005, maybe attributed to Ch...
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美国股市能像上海一样吗?:中国新兴股市影响的证据
目的-本文的目的是研究2000年至2007年美国和中国股票市场之间的关系。本研究试图将2007年2月27日的事件归类为非理性,即羊群心理,即上海股市暴跌9%,随后是1.5万亿美元的全球市场震荡。设计/方法/方法——为了检验这种关系,摩根士丹利资本国际从2002年4月15日至2007年4月12日收集了每日价格指数数据。道琼斯工业平均指数(DJIA),日经225指数(Nikkei 225),恒生指数和上海证券交易所综合指数(SSECI)从2000年1月1日至2007年4月3日收集。运行贝塔系数和相关系数,定义为累积系数,用于确定上证综指和道琼斯工业平均指数的共同运动。研究发现:自2005年以来,美国和中国股市之间的关系强度显着增加,这可能归因于中国…
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