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PLEASE FOLLOW THE GUIDANCE GIVE IN THE ATTACHED FILEOutline: For instance, you c
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PLEASE FOLLOW THE GUIDANCE GIVE IN THE ATTACHED FILEOutline:
For instance, you can look at three stock markets now active in China: Hang Seng (Hong
Kong), Shenzhen and in Shanghai. The project will investigate whether the movements in
the Hang Seng market determine or lead the activity in the others.
Methodology: This will involve use of causality testing techniques from econometrics. A
good paper that describes the background to the stock markets in China is Chan et al.
(2007), and part of the empirical methodology to be used is described in Liu et al. (1996).
Data: The period of interest and the frequency of the data (e.g., daily, weekly time
intervals) can be determined in consultation with the supervisor.
Hint Data is available on the stock markets website or Google Finance.
Reading: Chan, K., H. Fung and S. Thapa, 2007. “China Financial Research: A Review and
Synthesis.” International Review of Economics and Finance 16 (3): 416-428. Liu, X., H.
Song and P. Romilly, 1996. “Are Chinese Stock Markets Efficient? A Cointegration and
Causality Analysis,” Applied Economics Letters 4 (8): 511-515.