Research And Application Of The New Granger Causality Test Method

With the development of the society,the financial sector in the social status of the already more and more high,the financial analysis,it is very important to study about causality,granger causality test is very practical for causal research method,is also very wide application field,this paper studies the benchmark Shanghai composite index and the nasdaq composite index of cause and effect,can explain comprehensive market at home and abroad contact transnational dissemination is also the market of financial risk transmission link,to strengthen the understanding of futures have certain effect.This article found in the research literature of granger causality test,granger causality test simply to according to the first,second order to establish the granger test method,because the more relevance of financial markets,thus establishing a consideration first and second order at the same time from the granger test method is necessary,can from more direction to study the causal relationship between the two experimental factors.In the article,we first to fit two groups of sequence model respectively,and then a set of sequences to join another group of sequences of establishing new model fitting,finally by looking at the model coefficient is zero,to see whether two sets of sequences have granger causality,this way to complete the improvements on the traditional method of granger causality test,establish a consider first and second order of causality test method,then use to build the new testing method to test causal relationships.In this paper,the Shanghai composite index and NASDAQ composite index are analyzed by using two test methods.Firstly,the standard first-order distance test method is used for causal analysis of the two composite indexes.Then,the new test method is established to link the first-order distance with the second-order distance for causal test.Finally,the feasibility of the new granger test method is summarized and the deficiency is made,and the usability of the new granger test method is prospected and suggested.