JACIII Vol.19 No.5 pp. 593-600
doi: 10.20965/jaciii.2015.p0593


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

September 29, 2014
March 10, 2015
Online released:
September 20, 2015
September 20, 2015
stock market, determinant variables, technical indicator, nonparametric path identification

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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Last updated on Mar. 28, 2017