| In the recent 20 years, the stock market's co-movement has not only been extremely important economic phenomenon that occurs in global stock markets, but also has been the hot topic which the domestic and foreign scholars study. With the QFII and the QDII system's implementation, Chinese stock market's co-movement with the global stock markets has been increasing, which has enhanced the correlation of Chinese stock market's stock prices with the global main stock markets'. However, because Chinese stock market has been brought into the global stock market rapidly, the investors will be faced up to a higher risk. If the rule of Chinese stock market's co-movement with the global stock markets can be understood, the investors may obtain the high investment profit while avoiding the latent market risk, and the Chinese stock market authorities may formulate the corresponding policy to guarantee Chinese Stock market's healthy development. Thus, this essay conducts the study on Chinese Stock market's co-movement with the global stock markets after introduction into the QFII and QDII system.After this essay has analyzed kinds of factors affecting Chinese stock market's co-movement with the global stock markets, it has carried on the empirical study. It answers these questions:(1) After introduction into the QFII and QDII system, how Chinese Stock market's co-movement with the global stock markets changes? (2)What co-movement of global macroeconomic fundamentals with Chinese stock market is?Therefore, through this essay's research, for the stock market investor, because they can understand the state of Chinese stock market's co-movement with the global stock markets, they can judge the trend of another country stock market with the aid of a country stock market's and implement the best investment profolio strategy in order to obtain the high investment profit. For Chinese stock market Authorities, whether Chinese stock market's co-movement with the global stock markets exists not only manifests Chinese stock market's international level, but also manifests the ability that Chinese stock market guides the global fund's flowing. If Chinese stock market's co-movement with the global stock markets doesn't exist, Chinese stock market authorities must strengthen opening to the globe, which introduces foreign investor's advanced investment idea to enhance the Chinese stock market's operation efficiency. If Chinese stock market's co-movement with the global stock markets exists, the Chinese Stock market authorities must establish the supervising and managing mechanism of cross stock markets to dodge the market risk and guarantee Chinese stock market's healthy development and simultaneously protect investor's rights and profits.The innovation of this essay is as follows:(1) This essay has utilized principal components analysis to study the correlation of Chinese stock market's return with global main stock markets'return, which has been the method innovation both at home and abroad. This study has provided the most direct-viewing investment profolio for the investor.(2) This essay has comprehensively analyzed the intrinsic mechanism of global stock markets co-movement, which has been divided into into two aspects:stock markets co-movement based on fundamental factors and stock markets co-movement based on investor behavioral factors. Thus, it has laid the theoretic foundation for later study.(3) This essay has studied the correlation of Chinese stock market's return with global main stock markets'return based on both return co-movement and return volatility co-movement. Thus, the analysis of this essay is more comprehensive and the conclusions of it are more scientific.(4) This essay has conducted the study on co-movement of American macroeconomic fundamentals with Chinese stock market, which may have filled the blank of the study.(5) This essay has divided the time of the study into three stages according to QFII and the QDII system implementation, which empirical results can clearly unfold the change process of Chinese Stock market's co-movement with the global stock markets.The structure and content of this essay is as follows:First chapter is the introduction. This chapter first has discussed the theoretic and practical significance and proposed the goals of this study. Secondly, it has given the structure and content of this essay. Thirdly, it has carried on the analysis to this essay' innovation. Finally, it has been clear about the route and means of the essay.Second chapter is theoretical basis of global stock markets co-movement and summary of literatures. Firstly, it has carried on the Connotation of Global Stock Markets Co-movement. Secondly, it has divided the intrinsic mechanism of global stock markets co-movement into two aspects:stock markets co-movement based on fundamental factors and stock markets co-movement based on investor behavioral factors. Thirdly, it has carried on the summary of literatures of theory of global asset prices equal. Finally, it has carried on the summary of literatures of global stock markets co-movement based on econometrics methods, including summary of literatures of econometrics methods, summary of literatures of global stock markets co-movement and comment on summary of literature.Third chapter is. analysis of the factors effecting co-movement of Chinese Stock market with global main stock markets. Firstly, it has carried on Chinese stock market's opening-door policy, including qualified Foreign Institutional Investors systems, Qualified Domestic Institutional Investors systems. Secondly, it has carried on the sketch of Chinese stock market and global main stock markets, such as scale of global stock market, sketch of Chinese stock market, sketch of American stock market, sketch of Japanese stock market, sketch of Britain's stock market, sketch of Chinese Hong Kong's stock market, sketch of Singapore's stock market, etc. Thirdly, it has carried on analysis of Chinese quoted companies in global main stock markets, including analysis of Chinese quoted companies in American stock market, analysis of Chinese quoted companies in Chinese Hong Kong's stock market, analysis of Chinese quoted companies in Singapore's stock market. Fourthly, it has carried on connection between Chinese economics and global economics, including Chinese trade with globe, situation of Chinese foreign investment and outbound investment. Finally, it has carried on Chinese stock market's other policy, such as improvement of legal systems, equity division reform.Fourth chapter is study on correlation of Chinese stock market's return with global main stock markets' return based on principal components analysis. Firstly, it has chosen the variables, including the date closing price index of Chinese stock market, American stock market, Japanese Stock market, Britain's stock market, Chinese Hong Kong's Stock market, Chinese Taiwan's stock market, South Korean stock market, French stock market, Singapore stock market, Indonesian stock market, Malaysian stock market, Indian stock market. Moreover, it has chosen the time which is from January 1, 1998 to October 31,2009. In the meantime, it has divides the data of the samples into three different research stages according to the QFII system and QDII system implementation. Secondly, it has carried on theoretic models and methods, including stationary tests, correlation coefficient, principal components analysis. Thirdly, it has given empirical results, including results of stationary tests, summary statistics, correlation coefficient matrix, results of principal components analysis. The empirical results of this chapter are as follows:(1) Looking from the results of correlation coefficient matrix, in the first stage, the correlation of Chinese stock market price index with the global main countries stock market price index is weak. But in the second stage, the correlation is still weak, but has risen. In the third stage, compared with the first two stages, the correlation is still weak, but has risen. Moreover, the correlation of Chinese stock market price index with Chinese Hong Kong area stock market price index is low. (2) Looking from the results of principal components analysis, in the first two stages, the Chinese stock market is independent, which Chinese Stock market may develop in the seal circumstances. In the third stage, the relation of Chinese stock with Chinese Hong Kong's stock market is strengthening. (3) In the all three stages, the developed countries'market stocks have already been taken into the integration of capital since 1990s. In the all third stage, the integration of the. developed countries' stock markets with the developing countries'is strengthening.Fifth chapter is empirical study on long-run equilibrium and short-term co-movement for Chinese stock market's returns and global main stock markets' returns. Firstly, it has chosen the variables, including the date closing price index of Chinese stock market, Chinese Hong Kong's stock market, Singapore stock market and the American stock market. Moreover, it has chosen the time which is from January 1,1998 to October 31,2009. In the meantime, it has divides the data of the samples into three different research stages according to the QFII system and QDII system implementation. Secondly, it has carried on theoretic models and methods, including Vector Auto-regression model, Johansen Co-integration test, Vector Error Correction model, Granger Causality test, Impulse Response Function, Variance Decomposition. Thirdly, it has given empirical results, including empirical results of long-run equilibrium, empirical results of short-term co-movement. The empirical results of this chapter are as follows:(1) Looking from the empirical results of long-run equilibrium, in the first stage, there has not been the co-integration of Chinese stock market with the global main stock markets. But in the second stage, there has been the co-integration of Chinese stock market with the global main stock markets. In the third stage, because of sub-prime mortgage crisis broken out in August,2007, there has not been the co-integration of Chinese stock market with the global main stock markets. (2) Looking from the empirical results of Granger Causality test, the linkage of Chinese stock market with the global stock markets is enhancing. Chinese Stock market not only has been influenced by the global stock markets, but also it is gradually affecting the global stock markets. (3) Looking from the empirical results of Variance Decomposition, in the second stage, compared with that in the first stage, there is Chinese Stock market's weaker impact on the global stock markets and the global stock markets' weaker impact on Chinese Stock market. But in the third stage, compared with that the first two stages, there is Chinese stock market's more impact on the global stock markets and the global stock markets' more impact on Chinese Stock market. (4) Looking from the empirical results of Impulse Response Function, in the second stage, compared with that in the first stage, there has been more response of Chinese stock market to Chinese Hong Kong's stock market, Singapore stock market and American Stock market's impact, but there has been smaller response of Chinese Hong Kong's stock market, Singapore stock market and American stock market. In the third stage, the response of Chinese stock market to Chinese Hong Kong's Stock market, Singapore Stock market, American Stock market has enhanced. The response of Chinese Hong Kong's stock market to Chinese stock market is negative. The response of Singapore Stock market, American Stock market to Chinese stock market has enhanced.Sixth chapter is empirical study on Chinese stock market's and global main stock markets'returns volatility. Firstly, it has chosen the variables, including the date closing price index of Chinese stock market, Chinese Hong Kong's stock market, Singapore stock market and the American stock market. Moreover, it has chosen the time which is from January 1,1998 to October 31,2009. In the meantime, it has divides the data of the samples into three different research stages according to the QFII system and QDII system implementation. Secondly, it has carried on theoretic models and methods, including Autoregressive Conditional Heteroscedastic model, Generalized Autoregressive Conditional Heteroscedastic model, Dynamic Conditional Correlation Multivariable GARCH. Thirdly, it has given empirical results, including the results of stationary tests, tests of ARCH, tests of GARCH type, tests of DCC-MV-GARCH. The empirical results of this chapter are as follows:In the first stage, Chinese stock market is highly sensitive to the information, indicating Chinese stock market still was in the cubhood. But in the second and third stages, the degree that Chinese stock market is sensitive to the information has obviously reduced, indicating Chinese stock market has been rational. In the meantime, the dynamic conditional correlation of Chinese stock market with Chinese Hong Kong's stock market and Singapore stock market has enhanced. But the dynamic conditional correlation of Chinese stock market with American stock market has not changed.Seventh chapter is study on co-movement of Chinese and American macroeconomic fundamentals with Chinese stock market. Firstly, it has carried on an introduction. Secondly, it has chosen the variables, including Chinese macroeconomic fundamentals such as Chinese PPI, CPI, M1, and American macroeconomic fundamentals such as American CPI, M1. In the meantime, it has chosen monthly data which time is from January,1998 to October,2009. Moreover, it has divides the data of the samples into three different research stages according to the QFII system and QDII system implementation. Thirdly, it has carried on theoretic models and methods, including Vector Auto-regression model, Stationary Tests of VAR models, Impulse Response Function and Variance Decomposition. Finally, it has given empirical results. The empirical results of this chapter are as follows:Compared with that in the first stage, in the second stage, the response of Chinese stock market to itself has reduced, but the response of the Chinese macroeconomic fundamentals to Chinese stock market has enhanced. In the meantime, Compared with the other Chinese macroeconomic fundamentals, there has been more response of the Chinese CPI to Chinese stock market. In the second stage, the response of American stock market and American macroeconomic fundamentals has enhanced, indicating that the co-movement of Chinese stock market with American stock market has enhanced. In the third stage, compared with that in the first two stage, there are more response of American macroeconomic fundamentals to Chinese stock market.Eighth chapter is conclusions and outlooks. Firstly, it has made the conclusions into the empirical results of correlation of Chinese stock market's return with global main stock markets'return, long-run equilibrium and short-term co-movement for Chinese stock market's returns and global main stock markets'returns, Chinese stock market's and global main stock markets'returns volatility, co-movement of Chinese and American macroeconomic fundamentals with Chinese stock market. Secondly, it has given the proposals. For Chinese stock market authorities, it has put forward the proposals including continuing to carry out the opening-door strategy, prevention global stock market from impacting Chinese stock market, consummating the policy of investing in global stock market, optimizing Chinese economic structure, consummating QFII and QDII system, etc. In the meantime, it has also proposed the enlightenment to the overseas QFII investor and the Chinese QDII investor. Finally, it has carried on orientation of the study in Future.
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