Advances in Economics, Management and Political Sciences
- The Open Access Proceedings Series for Conferences
Proceedings of the 2nd International Conference on Business and Policy Studies
Series Vol. 16 , 13 September 2023
Open
Access | Article
Research on Interaction Between Chinese and American Stock Index: A VAR Approach
* Author to whom correspondence should be addressed.
Abstract
Today's world is a changing world and Economic globalization will be an irresistible trend. There are so many uncertain event factors like the global covid-19 epidemic, global China–United States trade war and Brexit etc. Those events are all affecting the global economic growth. However, will the affection be one-way or two-way? This paper focus on investigating the interaction between China and American’s Stock Index. In this study, the stock index Standard and Poor's 500 (S&P 500) in America and China Securities Index 300 (CSI 300) in China from 01/09/2021 to 01/09/2022 are selected as data, and the VAR model is established to capture the relationship between China’s and America’s stock variation. The following conclusions can be drawn from a study of the results: first, VAR model is convergent as the period of the time increases. Second, the impact of the Impulse response will last for about 10-14 periods. Third, from the variance decomposition, the affection from CSI 300 to S&P 500 will stabilised at around 10.993% and from S&P 500 to CSI 300 will stabilised at around 2.77%. The results in this paper benefit the related investors in financial markets.
Keywords
VAR model, variance decomposition, S&P 500, CSI 300
References
1. Gao, X., Ren, Y., Umar, M.: To what extent does COVID-19 drive stock market volatility? A comparison between the US and China. Economic Research-Ekonomska Istraživanja 35(1), 1686-1706 (2022).
2. He, F., Lucey, B., Wang, Z.: Trade policy uncertainty and its impact on the stock market-evidence from China-US trade conflict. Finance Research Letters 40, 101753 (2021).
3. Broadstock, D. C., Filis, G.: Oil price shocks and stock market returns: New evidence from the United States and China. Journal of International Financial Markets, Institutions and Money 33, 417-433 (2014).
4. Singh, A., Parneet, K. A. U. R.: Stock market linkages: Evidence from the US, China and India during the subprime crisis. Timisoara Journal of Economics and Business 8(1), 137-162 (2015).
5. Geetha, C., Mohidin, R., Chandran, V. V., Chong, V.: The relationship between inflation and stock market: Evidence from Malaysia, United States and China. International journal of economics and management sciences 1(2), 1-16 (2011).
6. Goh, J. C., Jiang, F., Tu, J., Wang, Y.: Can US economic variables predict the Chinese stock market? Pacific-Basin Finance Journal 22, 69-87 (2013).
7. Farsio, F., Fazel, S.: The stock market/unemployment relationship in USA, China and Japan. International Journal of Economics and Finance 5(3), 24-29 (2013).
8. Nakajima, J.: Time-varying parameter VAR model with stochastic volatility: An overview of methodology and empirical applications.
9. Hatemi-J, A.: Multivariate tests for autocorrelation in the stable and unstable VAR models. Economic Modelling 21(4), 661-683 (2004).
10. Jian, Z., Kuang, M., Economics, S. O.: China Macroeconomic System Dynamic Conduct, Conduct Reliabilities and the Dynamic Mechanisms of Monetary Policy. Economic Research Journal (2015).
Data Availability
The datasets used and/or analyzed during the current study will be available from the authors upon reasonable request.
This work is licensed under a Creative Commons Attribution-ShareAlike 4.0 International License. Authors who publish this series agree to the following terms:
1. Authors retain copyright and grant the series right of first publication with the work simultaneously licensed under a Creative Commons Attribution License that allows others to share the work with an acknowledgment of the work's authorship and initial publication in this series.
2. Authors are able to enter into separate, additional contractual arrangements for the non-exclusive distribution of the series's published version of the work (e.g., post it to an institutional repository or publish it in a book), with an acknowledgment of its initial publication in this series.
3. Authors are permitted and encouraged to post their work online (e.g., in institutional repositories or on their website) prior to and during the submission process, as it can lead to productive exchanges, as well as earlier and greater citation of published work (See Open Access Instruction).
- Volume Title
- Proceedings of the 2nd International Conference on Business and Policy Studies
- ISBN (Print)
- 978-1-915371-75-1
- ISBN (Online)
- 978-1-915371-76-8
- Published Date
- 13 September 2023
- Series
- Advances in Economics, Management and Political Sciences
- ISSN (Print)
- 2754-1169
- ISSN (Online)
- 2754-1177
- DOI
- 10.54254/2754-1169/16/20230957
- Copyright
- 13 September 2023
- Open Access
- This article is an open access article distributed under the terms and conditions of the Creative Commons Attribution (CC BY) license, which permits unrestricted use, distribution, and reproduction in any medium, provided the original work is properly cited