Based On The Us Subprime Mortgage Crisis, The G20 Members Stock Market Correlation Analysis

With the development of Internet telecommunication technology, electronicfinancial trading mechanism has provided the information platform for theglobalization of financial investment. Under the big trend of economic and financialglobalization, interaction between international stock markets has been strengthened, so does thedynamic linkage between developed economies such as USA and emerging developing economies.Especially，in2008the U.S. sub-prime mortgage crisis has caused the outbreak of financial tsunamiwhich was a rare financial crisis posing a serious impact and bringing a great damage and loss tomost developed and developing countries’ economies and finance. On one hand, the financial sectorand academic researchers continuously explore the depth of the financial crisis. On the other hand,they analyze the impacts of the crisis from the point of view of economy, trading and finance.In addition, since the international financial system has been continuously reformed in thecontext of economic integration, as well as the rapid development of science and technology toaccelerate the advancement of Internet, the economic and financial market with the coexistence ofdiversification of financial products and investment can’t change the trend of the convergence ofinternational markets. This makes the security market also face the globalization process. Therelations and dynamic linkages have attracted a great attention from the economists and financialexperts. Therefore, investors can study the linkages between the stock markets to probably dispersetheir investment risk to a certain extent. At present, with the extent of economic globalization theinteractions between global stock markets have been strengthened, domestic and foreign investorshave diversified their risk to gain greater profits. Domestic and foreign financial experts andeconomists embark on the study of international linkage between the stock market.Compared with the previous study of linkages, this paper has some breaking explorations ofstudy objects and empirical methods. It mainly uses the Cross-Correlation Function and theGranger Causality of the VAR model to do the empirical analysis of the time series ofthe representation stocks of the G20Group. Statistical Causal Networks (SCN) are generated,representing the asymmetric statistical causal relationships between these stock indices. It alsogives reasonable policy recommendations according to the empirical results with thecombination of real-time dynamic of today’s financial market.