Analysis Of The Correlation Of The Stock Markets Between China And Europe And The United States Based On ARCH Model Family

In the21stcentury, with further opening of the capital market of China, thevolatility of international stock markets has stronger influence on the capitalmarket of China. At the same time, the further development of China’s capitalmarket is the inevitable requirement of China’s economic development; the globalstock market will have more influence on the capital market of China. Hence, theanalysis of the relevance between the stock market of China and the stock marketof Europe and America will be of great practical significance.In this paper, we analyze the relevance of HS300Index, Dow JonesIndustrial Average Index, and FTSE100Index by unit root test, cointegration testand Granger causality test. By analyzing the long term relationship among themand establishing GARCH model, we study the relationship of HS300Index, DowJones Industrial Average Index, FTSE100Index and their returns. Furthermore,this paper tested theoretical rationality of the GARCH model and deeply analyzedthe cause of the rationality of the model, illustrated its reasonable basis. On thebasis of study of the relevance between HS300Index, Dow Jones IndustrialAverage Index, FTSE100Index and their returns, the theoretical reason andmarket reality are given. Finally, with the combination of market realities, theinfluence of European debt crisis on capital market of the world is discussed.