Researching For Co-movement Between China Stock Market And World Stock Markets

During the world capital market developing, the capital can flow between the domestic capital market and foreign markets. The global stock markets show a common trend that the stock markets turn up or down similar. This phenomenon becomes prevalent in the world stock markets. Co-movement of stock markets has become the focus of academic research around the world. With the implementation of QFII and QDII and the reform of the exchange rate system of RMB, the relationship between China stock market and world stock markets becoming more closely. Co-movement between China stock market and world stock markets develops deeply. China stock market has been gradually integrated into world capital market. The change that China stock market is open from close offers more portfolio for investors to spread risks and improve investment income. It also needs China stock market administrators establish and improve appropriate policies for ensuring China stock market. For this purpose, the paper that co-movement between the Chinese stock market and the world’s major stock markets studied.In this paper, we theoretically and empirically analyszed the co-movement between China stock market and the world major stock markets, introduced the current situation between China stock market and the world major stock markets, draw relationships, long-term relationships and volatility spillovers which is between China stock market and the world major stock markets. The structure and contents of this paper are as follows:The chapter1is the introduction. This chapter discusses the importance of this study, the research purpose, research structure, contents, innovations, research methods and research tools of this paper.The second chapter is the relevant theory of the stock market co-movement. This chapter introducesportfolio theory, CAPM model and APT model, financial (crisis) contagion theory that includes conditons and channels of financial contagion, econometric methods.The third chapter is the factors of comovement between China’s stock market and the world’s major stock markets. This chapter describes the overview of the world’s stock markets and the Chinese stock market, analyzes the impact of several aspects of the stock market opened, foreign trade, use of capital and economic policies.The fourth chapter is the factor anlysis of China’s stock market and the world’s major stock market. This chapter use the correlation coefficient and factor analysis to examine the common factors, cofirm the explanatory power and explain the co-movement.The fifth chapter is the long-term equilibrium and short-term impact between China stock market and the world major stock markets that confirmed through VAR model, Granger causality test, impulse response analysis and variance decomposition.Chapter VI is the study the volatility spillover effects between China stock market and the world’s major stock markets that confirmed through VAR-BEKK-GARCH model.Chapter VII is the conclusion and outlook.