| On December 12th, 2001 China entered the WTO, which is a landmark for China economy of beginning to involve in the world market. As a matter of fact, investors and supervisors in China stock market have expected for entering the world market for a long time. At the same time, as we enter into a new millennium, the stock market in China has also moved into a new path that it can grow much rapider than before. The discussion about the mobilization of state-owned shares, the joining in of privately owned capital, the increasing communication in the market regulatory level, the higher expect for the extent of market's opening, and the conversion of security institutes' investment concepts, are all fully indicate that our market is making great efforts to perfect itself and to fill the gap between the capital market's standard in developed country and that of China. In my thesis, I analysis the external factors which have influence on the fluctuation of stock market. By some quantitative analyses, we can know exactly when China stock market will joint international market which means they have cointegrate relationship. We can also measure effect of international market shock and circumstance of correlation changes between China market and open market.First, according to the effect that external factors in domestic economy have on China stock market, I set up a multivariable linear model. This model validates quantificationally that money supply has driving effect on stock market at present, policy variable has dominate effect on stock fluctuation, and money flow in domestic finance market has effect on fluctuation of share indexes. Then, I analysis the correlation changes of share indexes between Hong Kong market and mainland market and draw the conclusion that the co-movements effect of share indexes between the two markets is increasing year after year. Furthermore, I analysis the international market which is the international part of the thesis. With the help of filter analytical method, I make a dividing assumption about the period of time in Shanghai Stock Index and developed countries' share indexes and check up by Granger-Causality Test and co-integration analysis. Then through analysing the mutual-impulse effect of stock index(weekly close index) in simulated international portfolio, wecould see clearly that there are economic relations between some countries and areas and I also testify the Granger-Causality checkout's qualitative results through quantified index.Through the quantity analysis in my thesis, I draw some conclusions as follows:China stock indexes are apparently influenced by lag4 of cash balance(), its own movements and driven effect of rules of laws and policies. At the same time, public debt market and future market have capital-diffluent effect on stock market.The correlation coefficients of SSEC and HSI,HSCEI is increasing year after year.China stock market and world stock market became co-integration in November 2002. There is not obvious causality relation between SSEC and Euro and America stock indices. N225 is the Granger reason of SSEC and HSI, while HSI is the Granger reason of SSEC.In the term of response of shock analysis, American main board market has permanent shock on all other markets except China market, while for China market, fluctuation in American stock market only has transitory shock. Hong Kong market is the most sensitive stock market, because any fluctuation from other stock markets all means permanent shock for Hong Kong stock market.
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