Research On The Volatility Transmission Effect Of Chinese And America Stock Market

With continuous integration of world economy, especially after the global financial crisis in2007,relationships have changed between China’s stock market and the world’s major stock markets. Based on the relationship between different stock market volatility, international scholars are doing research on the causes and transmission mechanism of stock market fluctuations.After the reform and opening, China’s accessed to the WTO, implemented QFII, QDII policy and completed the equity division reform, has improved the exchange rate formation mechanism, and speeded up the internationalization of the RMB such as the acting of the RQFII system. Therefore, China’s capital account is becoming more openness, and the scale, as well as the direction, of short-term capital flows in our country also experienced some profound changes. International capital flows bring not only scarce resources to the every country for development, but also soil for risk spread between different countries. After the financial crisis in2007and European debt crisis in2009, international capital flows, especially the short-term international capital flows, are playing an increasingly important role in the international financial market. Therefore, as a transmission mechanism of the word market fluctuations, it is significant to explore how important a role short-term international capital flows work as in this fluctuations. Under this circumstance, it will be quite helpful to understand the international capital flows to research the volatility transmission from the perspective of short term international capital flow and to reduce the fluctuations in the world market so that to guarantee a healthy China stock market.Using the United States market, which is relatively mature and the influence is huge in the stock market in the world’s financial markets, as reference, this article introduces the causes and transmission mechanism of stock market volatility correlation theories based on the domestic and foreign literature review, and then use the econometric model to analyze the volatility of Chinese stock market and of America stock market, compared these two markets to illustrate the status quo of China’s stock market, and dig out the role that short-term international capital flows works as in the transmission effect of stock market volatility before and after financial crisis. Finally, according to the empirical results, put forward corresponding policy recommendations from the perspective on controlling international capital flow and perfecting our country’s stock market.