Study On The Co-movement Of The Stock Markets Between China And The Leading Countries

According to international finance globalization, major international stock markets appear together rise or together down, so global investor attention to Co-Movement in stock market. The Co-Movement is found not only in the developed countries but also in the developing countries.With the process of economic globalization, the globalization of financial market is on its way. China’s financial market is gaining a fast growth because of its fast growing GDP and capital market opening. Under this condition, the comovement between domestic stock markets and abroad stock markets is becoming significant and the study on whether or not existing the comovement and synchronization between the world stock markets and domestic stock markets will make sense. The study on the comovement of stock markets in China contains two parts. Firstly, the comovement behaves of stock markets comes from the comovement of the market return which should be studied in order to analysis the markets. After that, the market fluctuations of stocks in different markets should also be studied because it is the other way of transmitting stock behaves between different markets.With the methods of Granger Causality Test, VAR assessment, Impulse response inspection and Variance Decomposition, the comovement between Shanghai Stock Mark of China and NASDAQ of America is tested. In the end, the result shows that the comovement between these stocks markets in recent years are not only much more significant than before but also becoming more and more significant. Specially, this study focuses on empirical test and examines the stock return and volatility Co-Movement between China stock market and U.S. stock market, which analyzing the phenomenon, the dynamic evolving process and the reason.The structure is listed as follows:To begin with, the paper introduced the purpose, background and structure of this research. As the second step, literature review is organized and the point is focused on its recent progress. With the process of economic globalization, the globalization of financial market is on its way. China’s financial market is gaining a fast growth because of its fast growing GDP and capital market opening. There is little literature about financial market Co-movement between China and the leading countries over the world.After that, theoretical basis of the paper is introduced which comes from the CAPM and behavioral foundations of economic theory.At last, the innovation of this paper is to enlarge the sample to the year of2010.To make the result of the model persuasive, the study of the stock market focuses on the recent grown-up of the stock market. With the methods of Granger Causality Test, VAR assessment, Impulse response inspection and Variance Decomposition, the comovement between Shanghai Stock Mark of China and NASDAQ of America is tested. This paper empirical method includes the potential non-linear relationship between the indexes and co integration analysis.To conclusion, the analysis is placed in the environment of reformation of stock separation and new policy suggestions are put forward in the end.The importance and innovation is listed as follows:Firstly, new data and the time dividing method is involved in this paper. New conclusion could be found with new date.Secondly, the Co-Movement theory is summered up and reorganized by this paper and it do has contribution to the development of the stock Co-Movement research of China.Thirdly, research objects are well chose, easily found and accurate, which makes the VAR test reliable.