2009•Journal of Chongqing University of Science and TechnologyRequires access

Empirical Analysis of the Co-integration of Shanghai Stock Market A and B, and Shenzhen Stock Market A and B

Jiang Li-mei

Abstract

The paper studies the relationship between the Shanghai stock market A and B and Shenzhen stock market A and B by using the cointegration and Granger causality test in order to find out the regulation of the moving of the stock pricing.According to the result,the time interval between Jan 4th,2002 and Aug 31st,2008,Shanghai stock market A and B have co-integration relation while Shenzhen stock market A and B haven't.Then it constructs the error correction model and make Granger causality test.Finally it analyzes the empirical result and make conclusions.

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Key concepts: Stock market, Cointegration, Granger causality, Stock (firearms), Financial economics, Stock market bubble, Econometrics, Economics