Original scientific paper
https://doi.org/10.1080/1331677X.2020.1711792
A multivariate cointegration time series model and its applications in analysing stock markets in China
Yan-Yong Zhao
Xu-Guo Ye
Zhong-Cheng Han
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.
Keywords
Hrčak ID:
254413
URI
Publication date:
9.2.2021.
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