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In earlier studies on co-movement of stock markets focused mainly on conventional equity markets. In contrast to previous studies, this research investigated on co-movement of Islamic equity markets. Emphasis was placed on two questions: do the Islamic stock markets in Asia and US move together and what will be the directions of the movements? The data are obtained from Morgan Stanley Capital International...
Balance of payments is one of the main economic goals for an open economy. This paper uses the unit root test, co-integration test and VAR model to make an empirical analysis on the relationship between China's current account, capital account and GDP from 1982 to 2009. The results showed that the co-integration relationship between the current account and GDP, GDP does Granger cause current account...
This paper selected three indicators in Hubei rural areas, such as rural per capita net income, rural financial interrelation ratio and level of rural financial efficiency. We used unit root test, co-integration test, granger causality test and impulse response measurement methods to make an empirical study on the correlation between Hubei rural financial development and rural economic growth. The...
The real estate industry plays the important role in the development of Chinese economy. In the meantime, the situation of Chinese stock market represents the state of Chinese economy. Thus, it is important to study the co-movement between Chinese stock market and real estate industry. Based on daily data span from January 2003 to January 2009, this paper uses unit-root test, co-integration test and...
The paper uses correlation analysis, unit-root test, co-integration test and Granger-causality test to analyze the stock market co-movement among China mainland, Hongkong and America from November 15, 2002 to December 31, 2008. In conclusion, there is a stock market co-movement relationship among China mainland, Hongkong and America after China government implemented QFII mechanism in November 15,...
With the rapid development of economy in China, the role of services economy in the national economy growth becomes more and more important. In this paper, we make an empirical analysis of the relationship between services economy and economy growth using unit root test, co-integration test, Granger causality test based on the relative data of them collected from 1978 to 2008 in China. The results...
This paper conducts an empirical analysis to examine the degree of market integration in the PJM electricity market as a way to evaluate the transmission open access and market efficiency. PJM electricity market was established in 1997. However, from May 2004 to May 2005, the market was expanded greatly. The impact of the market expansion on the degree of market integration is studied. The test results...
In this document, we differentiate the long-term impact and the short-term substitution effects of electronic currency by dividing money assets into three levels. We then do empirical analysis on the related seasonal data in China by unit root test, co-integration test and error correction model. The result shows that substitution effects of electronic currency will decrease in the short-term and...
In this article, first of all, we have measured the degree of China's financial openness and commercial bank risk, and on the basis of data, we have analyzed the relationship between financial openness and commercial bank risk from the model of unit root test, co-integration test, error correction model, Granger causality test and impulse response function. We find there exists co-integration relationship...
An annual runoff forecasting method is presented based on unit root test, cointegration test and error correction model of the upper and lower reaches of the Second Songhua River. The method of cointegration analysis is applied to the annual runoff data of the Baishan and Fengman hydrology Stations; then the error correction model is set up, which can predict the annual runoff of Fengman hydrology...
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