Conditional Heteroscedastic Cointegration Analysis with Structural Breaks - A study on the Chinese stock markets
(2011) NEKM03 20111Department of Economics
- Abstract
- A large number of studies have shown that macroeconomic variables can explain co-movements in stock market returns in developed markets. The purpose of this paper is to investigate whether this relation also holds in China’s two stock markets. By doing a heteroscedastic cointegration analysis, the long run relation is investigated. The results show that it is difficult to determine if a cointegrating relationship exists. This could be caused by conditional heteroscedasticity and possible structural break(s) apparent in the sample.
Please use this url to cite or link to this publication:
http://lup.lub.lu.se/student-papers/record/1973712
- author
- Raulamo, Heli LU and Kratz, Andrea
- supervisor
- organization
- course
- NEKM03 20111
- year
- 2011
- type
- H1 - Master's Degree (One Year)
- subject
- keywords
- cointegration, conditional heteroscedasticity, structural break, China, global financial crisis
- language
- English
- id
- 1973712
- date added to LUP
- 2011-06-17 11:20:26
- date last changed
- 2011-06-17 11:20:26
@misc{1973712, abstract = {{A large number of studies have shown that macroeconomic variables can explain co-movements in stock market returns in developed markets. The purpose of this paper is to investigate whether this relation also holds in China’s two stock markets. By doing a heteroscedastic cointegration analysis, the long run relation is investigated. The results show that it is difficult to determine if a cointegrating relationship exists. This could be caused by conditional heteroscedasticity and possible structural break(s) apparent in the sample.}}, author = {{Raulamo, Heli and Kratz, Andrea}}, language = {{eng}}, note = {{Student Paper}}, title = {{Conditional Heteroscedastic Cointegration Analysis with Structural Breaks - A study on the Chinese stock markets}}, year = {{2011}}, }