Proceedings of the 2022 7th International Conference on Financial Innovation and Economic Development (ICFIED 2022)

The Forecasting Ability of the Chinese Stock Market and the U.S. Stock Market on Each Other

Authors
Chujun Zhou1
1Department of Statistical Science, University College London, Gower Street London, WC1E 6BT
Corresponding Author
Chujun Zhou
Available Online 26 March 2022.
DOI
https://doi.org/10.2991/aebmr.k.220307.069How to use a DOI?
Keywords
Chinese stock market; U.S. stock market; WTO; mutual interaction; OLS model
Abstract

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.

Copyright
© 2022 The Authors. Published by Atlantis Press International B.V.
Open Access
This is an open access article under the CC BY-NC license.

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Volume Title
Proceedings of the 2022 7th International Conference on Financial Innovation and Economic Development (ICFIED 2022)
Series
Advances in Economics, Business and Management Research
Publication Date
26 March 2022
ISBN
978-94-6239-554-1
ISSN
2352-5428
DOI
https://doi.org/10.2991/aebmr.k.220307.069How to use a DOI?
Copyright
© 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  -