Multiscale Cross Sample Entropy Analysis for China Stock Markets and International Crude Oil Price

DOI

10.2991/ictim-17.2017.75How to use a DOI?

Keywords

Multiscale cross sample entropy; stock market; crude oil price

Abstract

This paper presents multiscale cross sample entropy (MSCE) analysis for the synchrony relationship between China stock markets and international crude oil price. Shanghai and Shenzhen Stock Exchange (SSE, SZSE) Composite Indexes are used to represent China stock markets. WTI (West Texas Intermediate grade) and Europe Brent crude oil spot price is employed as benchmark for international oil price. MSCE is calculated and analyzed with different parameters. The results show that the MSCE between the stock indexes and the oil price decreases as the time scale increases. It implies that they are more synchronous at greater time scale. Under the same condition, the MSCE between SSE and oil price is smaller than the value between SZSE and oil price. This indicates that SSE is more synchronized with world oil price than SZSE. Meanwhile, the MSCE of WTI and stock markets is smaller than the value of Brent oil price and stock markets. This suggests that China stock markets are more synchronized with WTI than Brent oil price.

Copyright

© 2017, the Authors. Published by Atlantis Press.

Open Access

This is an open access article distributed under the CC BY-NC license (http://creativecommons.org/licenses/by-nc/4.0/).

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TY  - CONF
AU  - Xudong Wang
AU  - Xiaofeng Hui
PY  - 2017/09
DA  - 2017/09
TI  - Multiscale Cross Sample Entropy Analysis for China Stock Markets and International Crude Oil Price
BT  - Proceedings of the International Conference on Transformations and Innovations in Management (ICTIM 2017)
PB  - Atlantis Press
SP  - 958
EP  - 967
SN  - 2352-5428
UR  - https://doi.org/10.2991/ictim-17.2017.75
DO  - 10.2991/ictim-17.2017.75
ID  - Wang2017/09
ER  -