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Research On Co-movement Between China And America Stock Markets

Posted on:2010-02-10Degree:MasterType:Thesis
Country:ChinaCandidate:Y SunFull Text:PDF
GTID:2189360272495076Subject:Political economy
Abstract/Summary:PDF Full Text Request
American economy has been very significant for the whole world. Similarly, the U.S. security market also plays an important role in the global market. With China's accession to the WTO, the economic trade relationship between China and U.S. has been strengthened. And the fluctuations of the U.S. economy and financial market have impact on China's. In the meantime, the economy of China has become increasingly influential to the world. In theory, long-term trend of stock market reflects the macroeconomic situation. Therefore, the co-movement between China's stock market and the world's main markets, particularly the U.S. market, has been paid more and more attention to.In this paper, we consider China's accession to the WTO, the introduction of QFII system and the share splitting reform, which are on behalf of the trade opening, financial capital opening and capital market improvement separately, as demarcation points. After the empirical testing, we conclude that the return co-movement of China and U.S. stock markets has been enhanced. On the base of it, we analyse the intrinsic mechanism, and make recommendation from the perspective of investors and capital market system.Compared with the existing literatures, this paper divides the object into three periods, and uses different returns by cycles, in order to do more comprehensive research on China and America stock return co-movement and internal mechanism. Another, to combine with sub-prime crisis, the paper uses a appropriate empirical model to test the shock of bad news and good news on the stock return fluctuations. And it explains the phenomenon of stock markets volatility, especially during the period of financial crisis. Moreover, this article introduces capital market system to the intrinsic mechanism, which brings new thinking way to the further study of stock market linkage.
Keywords/Search Tags:Stock market, Co-movement, Intrinsic mechanism, Share splitting reform
PDF Full Text Request
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