Notice of Retraction: Empirical analysis of the correlation between Chinese and American stock market

Hongxia Wang

doi:10.1109/ICEMMS.2011.6015715

Notice of Retraction: Empirical analysis of the correlation between Chinese and American stock market

Hongxia Wang^*

^*Corresponding author for this work

Research output: Chapter in Book/Report/Conference proceeding › Conference contribution › peer-review

1 Citation (Scopus)

Abstract

With the process of the economic globalization, the correlation between China and America stock markets is becoming increasingly significant. In this paper, we take the Shanghai (securities) Composite Index and the Standard & Poor's 500 index as subjects. We study the original data of these two markets' daily returns in a time period of 1994-2010. Using the analyzing software EVIEWS5.0, we firstly build the VAR model between the daily returns, moreover apply the Granger causality test to study their relationship, and then make a further study by using the Impulse Test and the Variance Decomposition test to conclude the correlation pattern of China and U.S. stock markets.

Original language	English
Title of host publication	ICEMMS 2011 - Proceedings
Subtitle of host publication	2011 2nd IEEE International Conference on Emergency Management and Management Sciences
Publisher	IEEE Computer Society
Pages	443-446
Number of pages	4
ISBN (Print)	9781424496631
DOIs	https://doi.org/10.1109/ICEMMS.2011.6015715
Publication status	Published - 2011
Event	2011 2nd IEEE International Conference on Emergency Management and Management Sciences, ICEMMS 2011 - Beijing, China Duration: 8 Aug 2011 → 10 Aug 2011

Publication series

Name	ICEMMS 2011 - Proceedings: 2011 2nd IEEE International Conference on Emergency Management and Management Sciences

Conference

Conference	2011 2nd IEEE International Conference on Emergency Management and Management Sciences, ICEMMS 2011
Country/Territory	China
City	Beijing
Period	8/08/11 → 10/08/11

Keywords

Correlation test
Return
Stock co-movement

UN SDGs

This output contributes to the following UN Sustainable Development Goals (SDGs)

Access to Document

10.1109/ICEMMS.2011.6015715

Cite this

Wang, H. (2011). Notice of Retraction: Empirical analysis of the correlation between Chinese and American stock market. In ICEMMS 2011 - Proceedings: 2011 2nd IEEE International Conference on Emergency Management and Management Sciences (pp. 443-446). Article 6015715 (ICEMMS 2011 - Proceedings: 2011 2nd IEEE International Conference on Emergency Management and Management Sciences). IEEE Computer Society. https://doi.org/10.1109/ICEMMS.2011.6015715

Wang, Hongxia. / Notice of Retraction : Empirical analysis of the correlation between Chinese and American stock market. ICEMMS 2011 - Proceedings: 2011 2nd IEEE International Conference on Emergency Management and Management Sciences. IEEE Computer Society, 2011. pp. 443-446 (ICEMMS 2011 - Proceedings: 2011 2nd IEEE International Conference on Emergency Management and Management Sciences).

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title = "Notice of Retraction: Empirical analysis of the correlation between Chinese and American stock market",

abstract = "With the process of the economic globalization, the correlation between China and America stock markets is becoming increasingly significant. In this paper, we take the Shanghai (securities) Composite Index and the Standard & Poor's 500 index as subjects. We study the original data of these two markets' daily returns in a time period of 1994-2010. Using the analyzing software EVIEWS5.0, we firstly build the VAR model between the daily returns, moreover apply the Granger causality test to study their relationship, and then make a further study by using the Impulse Test and the Variance Decomposition test to conclude the correlation pattern of China and U.S. stock markets.",

keywords = "Correlation test, Return, Stock co-movement",

author = "Hongxia Wang",

year = "2011",

doi = "10.1109/ICEMMS.2011.6015715",

language = "English",

isbn = "9781424496631",

series = "ICEMMS 2011 - Proceedings: 2011 2nd IEEE International Conference on Emergency Management and Management Sciences",

publisher = "IEEE Computer Society",

pages = "443--446",

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address = "United States",

note = "2011 2nd IEEE International Conference on Emergency Management and Management Sciences, ICEMMS 2011 ; Conference date: 08-08-2011 Through 10-08-2011",

}

Wang, H 2011, Notice of Retraction: Empirical analysis of the correlation between Chinese and American stock market. in ICEMMS 2011 - Proceedings: 2011 2nd IEEE International Conference on Emergency Management and Management Sciences., 6015715, ICEMMS 2011 - Proceedings: 2011 2nd IEEE International Conference on Emergency Management and Management Sciences, IEEE Computer Society, pp. 443-446, 2011 2nd IEEE International Conference on Emergency Management and Management Sciences, ICEMMS 2011, Beijing, China, 8/08/11. https://doi.org/10.1109/ICEMMS.2011.6015715

Notice of Retraction: Empirical analysis of the correlation between Chinese and American stock market. / Wang, Hongxia.
ICEMMS 2011 - Proceedings: 2011 2nd IEEE International Conference on Emergency Management and Management Sciences. IEEE Computer Society, 2011. p. 443-446 6015715 (ICEMMS 2011 - Proceedings: 2011 2nd IEEE International Conference on Emergency Management and Management Sciences).

Research output: Chapter in Book/Report/Conference proceeding › Conference contribution › peer-review

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T2 - 2011 2nd IEEE International Conference on Emergency Management and Management Sciences, ICEMMS 2011

AU - Wang, Hongxia

PY - 2011

Y1 - 2011

N2 - With the process of the economic globalization, the correlation between China and America stock markets is becoming increasingly significant. In this paper, we take the Shanghai (securities) Composite Index and the Standard & Poor's 500 index as subjects. We study the original data of these two markets' daily returns in a time period of 1994-2010. Using the analyzing software EVIEWS5.0, we firstly build the VAR model between the daily returns, moreover apply the Granger causality test to study their relationship, and then make a further study by using the Impulse Test and the Variance Decomposition test to conclude the correlation pattern of China and U.S. stock markets.

AB - With the process of the economic globalization, the correlation between China and America stock markets is becoming increasingly significant. In this paper, we take the Shanghai (securities) Composite Index and the Standard & Poor's 500 index as subjects. We study the original data of these two markets' daily returns in a time period of 1994-2010. Using the analyzing software EVIEWS5.0, we firstly build the VAR model between the daily returns, moreover apply the Granger causality test to study their relationship, and then make a further study by using the Impulse Test and the Variance Decomposition test to conclude the correlation pattern of China and U.S. stock markets.

KW - Correlation test

KW - Return

KW - Stock co-movement

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U2 - 10.1109/ICEMMS.2011.6015715

DO - 10.1109/ICEMMS.2011.6015715

M3 - Conference contribution

AN - SCOPUS:80053327877

SN - 9781424496631

T3 - ICEMMS 2011 - Proceedings: 2011 2nd IEEE International Conference on Emergency Management and Management Sciences

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BT - ICEMMS 2011 - Proceedings

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ER -

Wang H. Notice of Retraction: Empirical analysis of the correlation between Chinese and American stock market. In ICEMMS 2011 - Proceedings: 2011 2nd IEEE International Conference on Emergency Management and Management Sciences. IEEE Computer Society. 2011. p. 443-446. 6015715. (ICEMMS 2011 - Proceedings: 2011 2nd IEEE International Conference on Emergency Management and Management Sciences). doi: 10.1109/ICEMMS.2011.6015715

Notice of Retraction: Empirical analysis of the correlation between Chinese and American stock market

Abstract

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Conference

Keywords

UN SDGs

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