The Forecasting Ability of the Chinese Stock Market and the U.S. Stock Market on Each Other
- https://doi.org/10.2991/aebmr.k.220307.069How to use a DOI?
- Chinese stock market; U.S. stock market; WTO; mutual interaction; OLS model
As the largest stock markets in the world, the relationship between the Chinese stock market and U.S. stock market have always been the hottest topic. If the U.S. stock market can predict and provide additional forecasting information for the Chinese stock market beyond that contained in Chinese economic variables, investors should incorporate the U.S. stock market variable into their information set to enhance the accuracy of their return forecasts. This paper mainly incorporates the data after China joined WTO because Chinese economy developed much faster than before after it joined WTO. By employing OLS and cointegration tests, this analysis presents evidence of the increasing interaction between the Chinese and the U.S. stock markets. This finding can be valuable to investors in a way that investors shall incorporate the information in the other market to make the right decision about investment in the domestic market.
- © 2022 The Authors. Published by Atlantis Press International B.V.
- Open Access
- This is an open access article under the CC BY-NC license.
Cite this article
TY - CONF AU - Chujun Zhou PY - 2022 DA - 2022/03/26 TI - The Forecasting Ability of the Chinese Stock Market and the U.S. Stock Market on Each Other BT - Proceedings of the 2022 7th International Conference on Financial Innovation and Economic Development (ICFIED 2022) PB - Atlantis Press SP - 433 EP - 437 SN - 2352-5428 UR - https://doi.org/10.2991/aebmr.k.220307.069 DO - https://doi.org/10.2991/aebmr.k.220307.069 ID - Zhou2022 ER -