Researching Conductivity of the Financial Markets Based on Granger-Causality Model

摘要

This paper not only uses the bivariate vector autoregressive (BVAR) model to discuss Granger-Causality of stock markets and bases on the result of causality to study the conductivity of the financial markets, but also empirically analyze changing character of conductivity between up period and down period. The empirical results show that in the whole sample period Shanghai stork market and Shenzhen stork market mutually conducted, Singapore stork market and Shenzhen stork market mutually conducted, Singapore stork market to Shanghai is unidirectional conducted relationship. The conductivity of Shanghai, Shenzhen and Singapore stork market in down period is more complex and more intense than in up period.