Abstract
This paper uses the smooth transition regression (STR) model to study the nonlinear relation between the consumer price index (CPI) and the composite index of Shanghai Stock Market in China from 1999 to 2011. The results show that there exists one way Granger causality relation from CPI to stock market in China; the internal relation between the CPI and stock market’s composite index appears as linearity in most of the time, while it turns to nonlinearity during Subprime Lending Crisis.
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Chen, J., Zhu, H. (2011). An Empirical Study on the Nonlinear Impacts of CPI to Stock Market in China. In: Jin, D., Lin, S. (eds) Advances in Computer Science, Intelligent System and Environment. Advances in Intelligent and Soft Computing, vol 106. Springer, Berlin, Heidelberg. https://doi.org/10.1007/978-3-642-23753-9_8
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DOI: https://doi.org/10.1007/978-3-642-23753-9_8
Publisher Name: Springer, Berlin, Heidelberg
Print ISBN: 978-3-642-23752-2
Online ISBN: 978-3-642-23753-9
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