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{"title":"Examining the Impact of Coronavirus on Stock Markets: Investigating the Cointegration and Transmission of Shocks between China and World Largest Stock Markets","authors":"N. Haq, Abid H. K. Shirwani","doi":"10.1504/IJBEM.2021.10034964","DOIUrl":null,"url":null,"abstract":"This study s focal point is to access the financial aspects of coronavirus on China and the world s largest stock markets by analysing the cointegration and the transmission of shocks from the Chinese stock market to the whole world This study employs unit root test, Johansen cointegration test, vector error correction model, Granger causality test, variance decomposition and impulse response function test, to find the long-run and short-run relationship and transmission of shocks for the period from January 2012 to March 2020 Findings of the study observe the long-run relationship between stock markets The short-run results reveal that the previous day s stock prices of Hong Kong and the US stock market show a positive relationship with China stock market Granger causality results show only unidirectional long-run causality running from the UK, Hong Kong and Japan Short-run causality results indicate the bidirectional causality among China and other major stock markets © 2021 Inderscience Enterprises Ltd All rights reserved","PeriodicalId":52261,"journal":{"name":"International Journal of Business and Emerging Markets","volume":null,"pages":null},"PeriodicalIF":0.0000,"publicationDate":"2021-01-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":"0","resultStr":null,"platform":"Semanticscholar","paperid":null,"PeriodicalName":"International Journal of Business and Emerging Markets","FirstCategoryId":"1085","ListUrlMain":"https://doi.org/10.1504/IJBEM.2021.10034964","RegionNum":0,"RegionCategory":null,"ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":null,"EPubDate":"","PubModel":"","JCR":"Q3","JCRName":"Economics, Econometrics and Finance","Score":null,"Total":0}
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检验冠状病毒对股市的影响:中国与全球最大股市冲击的协整与传导研究
本研究的重点是通过分析中国股市对全球冲击的协整和传导,来获取冠状病毒对中国和全球最大的股票市场的金融方面的影响。本研究采用单位根检验、约翰森协整检验、向量误差修正模型、格兰杰因果检验、方差分解和脉冲响应函数检验。寻找2012年1月至2020年3月期间的长期和短期关系以及冲击的传导,研究结果观察了股票市场之间的长期关系。短期结果显示,香港和美国股市前一天的股票价格与中国股市呈正相关格兰杰因果关系,结果显示,从英国开始,只有单向的长期因果关系。香港和日本短期因果关系结果表明中国和其他主要股票市场之间的双向因果关系©2021 Inderscience Enterprises Ltd版权所有
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