东亚地区主要股票市场联动效应的研究——基于金融危机前后样本的分析的中期报告.docxVIP

东亚地区主要股票市场联动效应的研究——基于金融危机前后样本的分析的中期报告 Abstract This report aims to study the interdependence of the major stock markets in East Asia, based on the analysis of the pre- and post-financial crisis sample data. The report focuses on the correlation and co-movement of the stock markets in China, Japan, South Korea and Taiwan. The analysis is based on descriptive statistics along with statistical tests including the Pearson correlation coefficient, the Granger causality test, the VAR model and the impulse response function. The findings indicate that the stock market movements in East Asia are highl