TITLE:
Cointegration Analysis of Stock Market Returns Impact Based on Wavelet Analysis
AUTHORS:
Zhangzhejin Lu
KEYWORDS:
Wavelet Analysis, Stock Market Returns, China
JOURNAL NAME:
American Journal of Industrial and Business Management,
Vol.13 No.10,
October
30,
2023
ABSTRACT: This
study aims to explore the impact of stock market returns on the Chinese stock
market using methods based on wavelet analysis and cointegration analysis. As a
crucial component of economic activity, the volatility of the stock market has
far-reaching implications for the entire economic system. To better understand
the relationship between stock market returns and the Chinese stock market, we
employed wavelet analysis to capture the cyclical characteristics of stock
market returns and utilized cointegration analysis to test their long-term
relationship with Chinese stock market indices. In the literature review
section, we reviewed previous research on the influence of stock market returns
and highlighted the applications of wavelet analysis and cointegration analysis
in the financial domain. Subsequently, we provided a detailed introduction to
the fundamental principles and methods of wavelet analysis and cointegration
analysis, illustrating their application in our study. To support our research,
we collected time series data including stock market returns and Chinese stock
market indices. In the empirical results section, we initially employed wavelet
analysis to decompose the time series of stock market returns, revealing
volatility characteristics at different time scales. Following this, we
utilized cointegration analysis to explore the long-term relationship between
stock market returns and Chinese stock market indices. Our empirical findings
indicate the presence of cointegration between stock market returns and Chinese
stock market indices at specific time scales, suggesting their co-evolution
over the long term. Through discussion and analysis of the empirical results,
we put forth explanations and insights, delving into the intricate relationship
between stock market returns and the Chinese stock market. Finally, we
summarized the main discoveries of the study and pointed out directions for
future research, including broader datasets and consideration of other
influencing factors. This research offers a fresh perspective on comprehending
the influence of stock market returns on the Chinese stock market, enriching
the applications of cointegration analysis and wavelet analysis in the field of
finance. It holds significant implications for investors, policymakers, and the
academic community alike.