An Empirical Study on the Nonlinear Impacts of CPI to Stock Market in China

  • Jianbao Chen
  • Huanjun Zhu
Conference paper
Part of the Advances in Intelligent and Soft Computing book series (AINSC, volume 106)


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.


CPI Stock Market Nonlinear Relation STR Model 


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Copyright information

© Springer-Verlag Berlin Heidelberg 2011

Authors and Affiliations

  • Jianbao Chen
    • 1
  • Huanjun Zhu
    • 1
  1. 1.Department of Planning and Statistics, School of EconomicsXiamen UniversityXiamenP.R. of China

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