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The purpose of this study is to investigate the relationship between macroeconomic variables (interest rate, money supply, exchange rate, inflation rate) and overall market return in Hong Kong and Shanghai. The relationship is test by using APT, VECM and Granger-Causility test. Pre-tests of unit root and cointegration are the way to process monthly data in this paper. Results: There do exist an relationship...
Cognitive ability refers to the ability to receive information and process information, which can influence people's decisions and judgments. Based on the five cognitive indicators:select the relation of response time, speed judgement, depth perception, the faculty of memory, we used the ordered Grainger causality test to study the relationship of different indicators in different situations. The...
This paper is based on an investigation to explore the dynamic relationship between US stock market index and three other stock indices of the Middle East and North Africa (MENA). This is accomplished by using discrete wavelet filtering, applied to daily data set from 6/29/2001 to 5/5/2009. After that co integration test and VEC model are used to determine the long run and short run relationship between...
Based on the depth, efficiency of financial development and the scale of securities market, through the Unit Root Test, Co-integration Test and Granger Causality Test methods, we analyzed the causality between financial development and economic growth of Fujian Province during the period from 1978 to 2008. We find out that there is a bidirectional causality between the depth of financial development...
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...
In this paper, we investigate the relationship between financial development and economic growth for the case of China in the period from 1979 to 2008. We use econometric methodology such as unit root test, cointegration test and Granger causality test in this work. The empirical results suggest that there exists a bidirectional relationship between financial development and economic growth in the...
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,...
The level of Changzhou' s agglomeration of industry is estimated. The status of Changzhou's innovation environment is evaluated. The dynamic relations between the level of agglomeration of industry and innovation environment in Changzhou are analyzed based on the unit root test, the cointegration test, the causal test and the variance decomposition technology. The result shows that there are consanguineous...
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...
Based on econometrics principles of the cointegration test and the error correction model, this research develops an innovative approach to quantitatively examine the ripple effect of house prices between Chinese big cities. Eight main capital citiespsila house price indices (1998-2007) are selected and calculated using unit root test, Engle-Granger test and error correction model. The empirical 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...
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...
The relationship between regional economical development and credit quota was studied in this paper, based on officially published data of China's 31 provinces, municipalities and autonomous, by using unit root test, cointegration test, Granger causality test, and panel data model. It is evident that a long-term stable balance does exist between regional GDP and its credit quota, and further more,...
This article first presents theoretical analysis on the channels through which the stock prices influence the money multiplier. Our study on the three influence channels, namely excess reserve ratio, the ratio of cash in circulation to checkable deposits and the ratio of the sum of savings and time deposits to checkable deposits is then verified by empirical analysis based on unit root tests and co-integration...
Since 2002, whether existing bubbles in Chinese real estate market has been a controversial question. On the one hand, the real estate management organs and enterprises deny the bubble's existence. And on the other hand, all consumers consider that there has big bubble in real estate market based on soaring real estate price nowadays. Scholars in economics also have different opinions on this theme...
We investigate the longevity of aggregate advertising effects on aggregate consumption over the period 1947-1988, using updated methods. The effects appear to linger for nine years, raising further questions. Perhaps a return to this near-dormant area of research could be productive.
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