Difference Between Chinese and US Stock Markets: Determinants, Mechanisms, and Impact
Bing Xu*, Qiuqin He*, Jun Qian*, and Jiangping Dong**
*Research Institute of Econometrics and Statistics, Zhejiang Gongshang University
18 Xuezheng Street, Xiasha Education Park, Hangzhou, Zhejiang 310018, China
**Graduate School of Information, Production and Systems, Waseda University
2-7 Hibikino, Wakamatsu-ku, Kitakyushu, Fukuoka 808-0135, Japan
This study uses technical indicator data to propose a new data-driven approach called nonparametric path identification to investigate the differences in the determinants, mechanism, and impact of the Sino-US stock markets. First, MA_5 is relevant to NASDAQ, whereas MA_10 is relevant to SSEC, which indicates that the trend of NASDAQ is more stable than that of SSEC. Second, different nonlinear mechanisms exist in the two stock markets, such that MA_10 and SAR have a nonlinear correlation to SSEC and NASDAQ, respectively. This finding indicates that the volatility reversion of NASDAQ is faster than SSEC. In addition, the relationship of middle Bollinger Bands (mavg) with SSEC is linear, whereas that with NASDAQ is nonlinear. Third, the most significant impact on SSEC is from CMF, whereas that on NASDAQ is from Average Directional Index (ADX). This result indicates the existence of more speculative behavior in SSEC than in NASDAQ.
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