Synchronization Between China And Global Stock Index

This paper applies multivariate Markov-switch procedures to analyze stock marketsynchronization between china and other countries in the world，using monthly stock priceindex of China, Germany, France, Britain, Italy, Japan, America and Hong Kong. The dataranges from Jan,2000to Jul,2012. First use unigram Markov-switch model to find out thecharacteristic of stock index fluctuation in each country, then extend the model to amultivariate form to analysis stock market synchronization. The results show that:1,China’s stock price index rises sharply in short-term and reduces faintly in long-term;2,Asian countries have high stock market volatility and weak synchronizations betweencountries. On the contrary, American and European countries have low stock marketvolatility and strong synchronizations between countries;3, The synchronization is weakbetween China and other countries.