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Research on Interaction Between Chinese and American Stock Index: A VAR Approach
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Abstract
Today's world is a changing world and Economic globalization will be an irresistible trend. There are so many uncertain event factors like the global covid-19 epidemic, global China–United States trade war and Brexit etc. Those events are all affecting the global economic growth. However, will the affection be one-way or two-way? This paper focus on investigating the interaction between China and American’s Stock Index. In this study, the stock index Standard and Poor's 500 (S&P 500) in America and China Securities Index 300 (CSI 300) in China from 01/09/2021 to 01/09/2022 are selected as data, and the VAR model is established to capture the relationship between China’s and America’s stock variation. The following conclusions can be drawn from a study of the results: first, VAR model is convergent as the period of the time increases. Second, the impact of the Impulse response will last for about 10-14 periods. Third, from the variance decomposition, the affection from CSI 300 to S&P 500 will stabilised at around 10.993% and from S&P 500 to CSI 300 will stabilised at around 2.77%. The results in this paper benefit the related investors in financial markets.
Keywords
VAR model, variance decomposition, S&P 500, CSI 300
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Cite this article
Zhao,Z. (2023). Research on Interaction Between Chinese and American Stock Index: A VAR Approach. Advances in Economics, Management and Political Sciences,16,1-8.
Data availability
The datasets used and/or analyzed during the current study will be available from the authors upon reasonable request.
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Volume title: Proceedings of the 2nd International Conference on Business and Policy Studies
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