The Analysis Of Co-movement In Stock Markets Of Asia-pacific Region Before And After The Financial Crisis

Subprime mortgage crisis broke out in the United States in2007,and triggered a fierce fluctuation in financial markets, then quickly spread to other financial markets of the Asia-Pacific region, and there was a substantial decline among those turbulent national stock markets. The data used in this article comes from the daily data of the most representative21Asia-Pacific region stocks which started from Jul.22,2005to Mar.18,2011.This article used a subdominant ultrametric space method of precise topology sequence and the minimum spanning tree algorithm to study the degree of co-movements in the major stock markets of the Asia-Pacific region by taking Sep.15,2008as a cut-off point of the financial crisis. Then I test and analysis the co-movements between China's HS300Index and the central node index of the Asia-Pacific region by using VAR models, Granger causality test and impulse response function. Empirical results shows that, after the financial crisis, the major indexes of the Asia-Pacific region showed more pronounced aggregation effect of the geographic area, the degree of correlation between the stock indexes increased significantly. The overall dynamic stability of the Asia-Pacific region index is relatively stable. The financial crisis enhances Hong Kong as a regional financial center further. China's HS300Index has a long-term integrated relationship with Hang Seng Index in Hong Kong. After the financial crisis, Hang Seng Index in Hong Kong has a strong guiding role on China's HS300Index. In order to avoid excessive volatility of stock index among the Asia-Pacific countries we should coordinate the financial regulatory measures throughout the Asia-Pacific region and maintain the diversity of national stock market investment.