Series Vol. 16 , 13 September 2023
* Author to whom correspondence should be addressed.
The stock index is very important to study the overall trend of the development of financial markets and the development of the stock industry. This paper mainly studies the interaction between stock indexes and the influence of the main fields included in the stock index on the index and related indexes. In this paper, Hong Kong Hang Seng Index and FTSE CHI index were selected for research, and impulse response analysis and variance decomposition analysis were carried out on the data through VAR model. By analyzing the results, the following conclusions can be drawn: First, the model is convergent. Second, the influence from one market to another market persist for several periods. Third, with the increase of lag period, FTSE CHI HK Index was influenced by HK Hang Seng Index and finally stabilized at about 96.1906% and HK Hang Seng Index was influenced by FTSE CHI HK Index and finally stabilized at about 93.995%.
Hang Seng Index, FTSE 100 index, VAR model, impulse response function
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The datasets used and/or analyzed during the current study will be available from the authors upon reasonable request.