Abstract
This study investigates the intricate interactions between the HuShen 300 Index and the S&P 500 Index, emphasizing their implications for global financial dynamics. Utilizing daily closing prices from January 1, 2010, to the present, employing the Vector Autoregressive (VAR) model to analyze the mutual influences of these stock indices. The Augmented Dickey-Fuller (ADF) test confirms the stationarity of both time series, allowing for robust econometric analysis. The findings reveal that shocks to the S&P 500 Index significantly impact the HuShen 300 and vice versa, with effects lasting up to eight periods. Notably, the variance decomposition indicates that the S&P 500 accounts for approximately 2.224% of the fluctuations in the HuShen 300, while the latter explains around 0.103% of the changes in the S&P 500. These results highlight the interconnectedness of these markets, providing valuable insights for investors and policymakers regarding potential spillover effects and vulnerabilities in the global economy. This research addresses a notable gap in the existing literature and contributes to a deeper understanding of market dynamics in the context of international finance.
Published Version
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