Lin, Xiaoqiang; Tang, Zhenpeng; Fei, Fangyu - In: Physica A: Statistical Mechanics and its Applications 392 (2013) 18, pp. 4064-4074
We investigate the relationships between Shanghai and Shenzhen stock market, and reveal the evidence of cross-correlations between the two stock markets. Our main findings show that Shanghai and Shenzhen stock market are cointegrated, and also present the evidence of strong error-correction...
