Abstract

This paper explores nonlinear cointegration between Chinese mainland stock markets and Hong Kong stock market in a multivariate framework for the period January, 1998 to December, 2014 by a nonparametric method. The local linear kernel smoothing method is developed to estimate the unknown function, and the practical problem of implementation is also addressed. Then, a simple nonparametric version of a bootstrap test is adapted for testing misspecification. Furthermore, Some Monte Carlo experiments are presented to examine the finite sample performance of the proposed procedure. Finally, the stock markets data set is discussed in detail by using proposed procedures, showing that Shanghai Stock Index (SHSI) and Shenzhen Component Index (SZCI) can affect Hang Seng Index (HSI), and the influence appears to be a strong nonlinear characteristics.

Details

Title
A multivariate cointegration time series model and its applications in analysing stock markets in China
Author
Yan-Yong, Zhao 1 ; Xu-Guo, Ye 2 ; Zhong-Cheng, Han 1 

 School of Statistics and Mathematics, Nanjing Audit University, Nanjing, China 
 School of Science, Kaili University, Kaili, China 
Pages
698-711
Publication year
2020
Publication date
Dec 2020
Publisher
Taylor & Francis Ltd.
ISSN
1331677X
e-ISSN
18489664
Source type
Scholarly Journal
Language of publication
English
ProQuest document ID
2504143209
Copyright
© 2020 The Author(s). Published by Informa UK Limited, trading as Taylor & Francis Group. This work is licensed under the Creative Commons Attribution License http://creativecommons.org/licenses/by/4.0/ (the “License”). Notwithstanding the ProQuest Terms and Conditions, you may use this content in accordance with the terms of the License.