In Ginger causality test, it is assumed that x and y are the two stationary time series. In order to test the null hypothesis that x does not Granger cause y, it is necessary to find the lagged values of y to include the auto regression of y:
From the Ginger causality test, the result can be obtained as:
From the above table related to the variation in Chinese concept stocks, it can be concluded that there are number of concept stocks which have a high degree of investment in China. Though there may be some external risk associated with investing such as political issues or environmental issues, the Chinese concept stocks are a good turnover for the foreign investors. It can also be observed that the China Captures common variation in stock after the control on the size factor. It can be observed from the table that in every size class, the portfolios with the heavier amount of investment has received the highest value of return.
Thus, on the basis of the analysis it can be concluded that the Chinese concept stock has been performing efficiently and are working in accordance with the stock markets with other countries. It can be understood that the concept stock markets of China can be influenced greatly by the other countries.
On the basis of the theoretical analysis and from the observations which are related to different tests, it can be confirmed that there is a relationship between the Chinese concept stocks and the attention of the investors. This has been done with the help of the Granger causality test, impulse-response analysis and the variance analysis. The results have been obtained which shows that the rise of the stock prices of Chinese concept stocks is the main factor which helps in attracting the foreign investors in Chinese stock markets. Thus, it can be concluded that a positive mechanism lies between the investor’s attention and the stock price.
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