Correlation Of Stock Price Behavior And Empirical Study Of The Cointegration

Nowadays the dependence and influence among financial markets increase day by day. The correlation analysis becomes more and more important in the application of the finance. The problems such as the portfolio analysis, the asset price and the financial risk measurement etc all involve the correlation analysis. Furthermore, the huge meaning of correlation analysis at guard against disaster is represented by the world financial crisis from 90th last century. With the global economic integration, the economies in all countries are affected by economic fluctuation. The stock markets in all countries which reflect the national economy circulative condition reflect a kind of synchronous fluctuation, and they have a kind of balanced relation over a long period. Cointegration analysis is a good method to distinguish real regressions from false ones. The understanding of the correlation and cointegration of our country's stock price behavior has great meaning. We can have a better understanding of the characteristic of our stock and accordingly improve the further development of the stock market.This paper contains seven chapters.Chapter 1: Introduction. With the beginning of problem put forward, the chapter introduced the background and theories significance. And then the literatures in domestic and abroad are reviewed and the frame of the paper is analyzed.Chapter 2 introduced the development and fluctuation of Chinese stock market in general.In chapter 3, the theories of correlation and cointegration are summarized and the following empirical study was carried out based on the theories.Chapter 4 to chapter 6 is core contents of the paper. The empirical analysis of the characteristic of Chinese stock market price behavior was carried out in the direction of the theories mentioned above.Firstly, we study the characteristic of the stock price behavior of Hongkong and the mainland stock market. The result showed that there is long-term cointegration among the index of Hongkong, Shenzhen and Shanghai. The Granger causality test showed that the Hongkong market was prior to mainland markets, and the Shanghai market was prior to Shenzhen market.Second, we analyzed the relationship between stock market A and B. According to the result, stock market A and B have cointegration relation ever since stock market B opened to the mainland investors. The Granger causality test showed that stock market A was prior to stock market B.Finally, we study the index of different plates of Shanghai stock market. The result showed that they have cointegration relations.Chapter 7 summarized the paper and gave the main conclusion of the empirical study.This paper gives a systematic and thorough analysis on the correlation and cointegration among stock price behavior of China from theory to empirical research. The results of this paper have both theoretical and realistic meanings.