NDLI: Correlation Research Based on Cointegration between China In-Market Social Security Funds and Development of China Stock Market

Content Provider	IEEE Xplore Digital Library
Author	Qingmin Yin Xiaoxue Song
Copyright Year	2011
Abstract	China Social Security Funds is operated in the capital market to meet the needs of the aging population and future health care reform, and the purpose is to preserve and increase its value. In recent years, the Social Security Funds has been investing part of its funds into the stock market, which not only boosting their own development but also playing a very important role in the development and expansion of the stock market. In this article, three indicators and Granger Causality test are used to analyze the cointegration. The first indicator is in-market Social Security Fund investment scale, the second is the Shanghai stock market liquidity indicators and the third one is Shanghai stock market trading volume. These indicators are able to have a better reflection of a country's Social Security Funds and characteristics of stock market. Conclusions of this article are as follows: (1) In-market Social Security Funds investment scale is the Granger cause of the Shanghai Stock market liquidity, and vice versa.; (2) In-market Social Security Funds investment scale is the Granger cause of stock market trading volume, and vice versa.
Starting Page	1
Ending Page	4
File Size	237015
Page Count	4
File Format	PDF
ISBN	9781424465798
e-ISBN	9781424465811
DOI	10.1109/ICMSS.2011.5998492
Language	English
Publisher	Institute of Electrical and Electronics Engineers, Inc. (IEEE)
Publisher Date	2011-08-12
Publisher Place	China
Access Restriction	Subscribed
Rights Holder	Institute of Electrical and Electronics Engineers, Inc. (IEEE)
Subject Keyword	Fluctuations Correlation Investments Time series analysis Lead Security Stock markets
Content Type	Text
Resource Type	Article

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1	Ministry of Education (GoI), Department of Higher Education	Sanctioning Authority	https://www.education.gov.in/ict-initiatives
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3	National Digital Library of India Office, Indian Institute of Technology Kharagpur	The administrative and infrastructural headquarters of the project	Dr. B. Sutradhar bsutra@ndl.gov.in
4	Project PI / Joint PI	Principal Investigator and Joint Principal Investigators of the project	Dr. B. Sutradhar bsutra@ndl.gov.in Prof. Saswat Chakrabarti will be added soon
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