The Effects of the Credit Crisis on the Shanghai Composite Index Using the Hilbert-Huang Transformation
China is the fastest-growing major economy in the world and has an average annual GDP growth rate of over ten percent in the last decade. This rapid development naturally impacts the Chinese stock market. Most classic time-series analysis require the time series to be stationary and/or linear. However, financial time series are usually nonlinear and nonstationary. In this study, we use the Hilbert-Huang transformation (HHT) to investigate the Shanghai stock dairy index along with several international stock markets from 2005 to 2010. The HHT approach primarily consists of the application of the empirical mode decomposition (EMD) and the instantaneous frequency/phase analysis. We find an obvious change in trading-activity behavior among these stock markets after the U.S. sub-prime mortgage credit crunch in 2008. Further, we note a significant correlation between the Shanghai Composite Index and the American stock markets for the periods 2006-2007 and
Instantaneous frequency, Instantaneous angle, Empirical mode decomposition, HHT.
Disclaimer/Regarding indexing issue:
We have provided the online access of all issues and papers to the indexing agencies (as given on journal web site). It’s depend on indexing agencies when, how and what manner they can index or not. Hence, we like to inform that on the basis of earlier indexing, we can’t predict the today or future indexing policy of third party (i.e. indexing agencies) as they have right to discontinue any journal at any time without prior information to the journal. So, please neither sends any question nor expects any answer from us on the behalf of third party i.e. indexing agencies.Hence, we will not issue any certificate or letter for indexing issue. Our role is just to provide the online access to them. So we do properly this and one can visit indexing agencies website to get the authentic information.