The Analysis Of Return Comovement Of Chinese And American Stock Market During Pre-and Post-Subprime Mortgage Crisis

Subprime mortgage crisis which broke out in United States in 2007 swept up the world. The chief stock markets were shocked by the crisis badly. Because of economic globalization, no matter the developing and the developed countries, no matter the emerging market and the transformation countries as long as it is the one member of the world, it means serious to them. So does the stock market of China.This thesis pays close attention to subprime mortgage crisis and divides the study period into two periods:pre-and post-subprime mortgage crisis. we will research return comovement of Chinese and American stock market during these two periods, and compare the results. Than we will find the difference and analyze the reasons.First, this thesis elaborates the theory and mechanism of return comovement based on commenting the existing literatures. Second, this thesis introduces VAR model and other empirical research methods. Than this thesis tests the datas and uses VAR model to research return comovement of Chinese and American stock markets. What's more, this thesis compares the different results between pre- and post-subprime mortgage crisis. The results show that return comovement of Chinese and American stock market was very weak pre-subprime mortgage crisis, but was very strong post-subprime mortgage crisis. In addition, the influence from American to Chinese stock market is stronger than the one from Chinese to American stock market during the whole research period. At last, we analyze the reasons of difference between these two periods and propose some suggestions from various angles.This thesis innovates the empirical research method, because we use generalized impulse response function to take the place of impulse response function. In addition, this thesis analyzes empirical results with the theory and mechanism of return comovement so that this thesis forms an integral research framework.Under the background of economic globalization, the impact of subprime mortgage crisis to the stock markets of China and America is far-reaching. This thesis can reflect a comprehensive situation of return comovement between two stock markets during the whole research period and have great ignificance to the research of return comovement and the development of Chinese stock market.