Advanced

Conditional Heteroscedastic Cointegration Analysis with Structural Breaks - A study on the Chinese stock markets

Raulamo, Heli LU and Kratz, Andrea (2011) NEKM03 20111
Department 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:
author
Raulamo, Heli LU and Kratz, Andrea
supervisor
organization
course
NEKM03 20111
year
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},
  keyword      = {cointegration,conditional heteroscedasticity,structural break,China,global financial crisis},
  language     = {eng},
  note         = {Student Paper},
  title        = {Conditional Heteroscedastic Cointegration Analysis with Structural Breaks - A study on the Chinese stock markets},
  year         = {2011},
}