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Comparing The Co-Movement Between Chinese Stock Market And International Stock Markets Before And After The Financial Crisis

Posted on:2012-06-20Degree:MasterType:Thesis
Country:ChinaCandidate:Z H WangFull Text:PDF
GTID:2219330368988139Subject:Finance
Abstract/Summary:PDF Full Text Request
Now the pace of economic globalization is faster and faster, although economic globalization improves the efficiency of the allocation of the international of resources, however, when financial crisis occurs, it would pass through various channels to the countries which have relation to, and make a hit on the countries' stock market. With China's implement of a series of market opening policy, China's stock market and global stock markets are linked much more. What's more, the financial crisis of USA have had a huge impact on China's stock market. Therefore, in the period of growing period, the research on the co-movement relation between SSEC and international indexes before and after the financial crisis has important practical significance.In order to compare co-movement degree between Chinese stock market and international stock markets before and after the financial crisis, the paper selects cointegration analysis, Granger causality test based on moving time window, DCC-MVGARCH model, and analyzes the co-movement of SSEC, the S&P 500 index, FTSE 100 index, Nikkei 225, Hang Seng index from the point of the co-movement of return rates and volatility rates. The study range is from December 11,2001 to April 1,2011, and the paper regards September 15,2008 as the cutoff point. The empirical results show that:(1) After the financial crisis, the co-movement degree between Chinese stock market and international stock markets enhances; (2) whether before or after the financial crisis, the co-movement degree of the volatility rates between SSEC and Hang Seng index is highest; (3) whether before or after the financial crisis, the co-movement degree of the volatility rates between SSEC and FTSE 100 index is always higher than that of SSEC and S&P 500 index. Thus, we can see that after the financial crisis, the co-movement degree between SSEC and international indexes enhances, however, at the time of the improvement of the co-movement degree bring huge achievement for China, it brings risks for the China's stock market. Therefore, when China's policy makers implement the opening policy, they should strengthen the supervision over the market, so they can prevent international stock markets'hit on China's stock markets.
Keywords/Search Tags:Financial Crisis, Stock Market's Co-Movement, Moving time window, DCC-MVGARCH
PDF Full Text Request
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