The Association of Stock Index among the market of China, US., and Japan

With trend of globalization in international financial market, more intimate of capital flows was formed day by day in capital market. Thus, it is important to understand the relationship of individual country in international stock markets. The main purpose of this study is to explore the relationship of stock index among the China, US., and Japan. The study period was covered from March 2001 to December 2006. By using the cointegration test, Granger causality, and forecast error variance decomposition to identify whether the stock market exits long-term relationship among the China, US., and Japan. Results show that six stock indices present severe volatility, however, there is no cointegration relationship. Further, Shanghai B Shares ahead of other three stocks and influence each other. Finally, the US' stock ahead of Shenzhen B Shares and Japan's. China stock market is closed, that stock index was no influence by US. and Japan markets.

[1]  R. Rigobón,et al.  No Contagion, Only Interdependence: Measuring Stock Market Comovements , 2002 .

[2]  J. D. Villiers.  Causality and Cointegration of Stock Markets among the United States, Japan, and the South China Growth Triangle , 2001 .

[3]  H. Grubel.  Internationally Diversified Portfolios: Welfare Gains and Capital Flows , 1968 .

[4]  Nalini K. Ratha,et al.  Enhancing security and privacy in biometrics-based authentication systems , 2001, IBM Syst. J..

[5]  Partha Deb,et al.  Co-movements in International Equity Markets , 1997 .

[6]  Tom Engsted,et al.  The Comovement of Us and German Bond Markets , 2005 .

[7]  Andrea Beltratti,et al.  Comovements in International Stock Markets , 2008 .

[8]  Jonathan D. Cryer,et al.  Time Series Analysis , 1986 .

[9]  Alex Pentland,et al.  Face recognition using eigenfaces , 1991, Proceedings. 1991 IEEE Computer Society Conference on Computer Vision and Pattern Recognition.

[10]  Cheol S. Eun,et al.  International Transmission of Stock Market Movements , 1989, Journal of Financial and Quantitative Analysis.

[11]  David J. Kriegman,et al.  Eigenfaces vs. Fisherfaces: Recognition Using Class Specific Linear Projection , 1996, ECCV.

[12]  David Zhang,et al.  An analysis of BioHashing and its variants , 2006, Pattern Recognit..

[13]  Chin-Wen Hsin.  A multilateral approach to examining the comovements among major world equity markets , 2004 .

[14]  A.T.B. Jin,et al.  Cancellable Biometrics and Multispace Random Projections , 2006, CVPR Workshops.

[15]  Ming-Shiun Pan,et al.  An Empirical Analysis of Stock Prices in Major Asian Markets and the United States , 1992 .