Chinese Stock Market Volatility And Correlation Study With The Neighboring Market

Economic integration in the world context, the stock market and the international association of the global economy become the inevitable trend of development, and accelerate the integration signs. Although the development of China's stock market history is not long, but in the world of international economic integration and in the larger stock market trends, significant fluctuations of China's stock market and its neighboring stock markets are intertwined and mutually reinforcing effects of a deeper and deeper; In order to improve stock market efficiency, and promote the stable development of China's stock market, China's stock market volatility evasion and association with the surrounding market brought about by the investment risk, and so in the context of economic globalization, it is absolutely necessary to examine China's stock market volatility and with the neighboring stock market interrelated issues, and working out which laws, and found to circumvent the stock market fluctuations and the corresponding risk associated measures for the healthy development of China's stock market put forward constructive suggestions.In this paper the characteristics from the perspective of China's stock market volatility starting to explore the securities market in China and neighboring Asian stock markets mainly related peripheral market, stock market fluctuations and the proposed deal with the risks associated policy recommendations for China's securities market and steady integration into the international securities market policy platform. The first chapter of the thesis topics background analysis, a comprehensive grasp of the relevant literature, in-depth study of the question for laid a solid foundation; Chapter II from the perspective of China's securities market, in-depth study of the volatility in the securities markets; Chapter III from Marcovitz portfolio theory, the capital asset pricing model and the arbitrage pricing theory systematic comparison, in-depth study of the International Securities Market Association theoretical basis, and then focus on the quantitative study of China's emerging stock markets and the relevance of the surrounding market; this chapter use GARCH model family, pulse function, VAR model, market-related parameters , a smooth test, cointegration test, Granger causality test methods measure the volatility in the securities markets and the correlation with the degree of peripheral markets; Chapter IV in the face of China's securities market volatility and market linkages with neighboring under the influence of the Chinese securities market from the current state of development of expounding China's Permit Certificates of inevitability of the international market, China's securities market and to avoid the risk of the corresponding policy recommendations.The innovation of this paper is. to organize the international system linked to the stock market economic theory and measurement methods such as the use of a variety of ethnic GARCH model, the VAR model, the impulse response function, the market HS relevant parameters, cointegration analysis, such as Granger causality test measuring China's stock market volatility and problems associated with peripheral market; this paper empirical results show that Shanghai and Shenzhen stock markets volatility of sequence with a smooth and wide fluctuations between the yield significant fluctuations feedback effect, the stock market in China is still a relatively closed emerging stock markets, Volatility marked, and vulnerable to the related peripheral market impact of this on China's stock markets to avoid the risk of higher demand.