Linkage Study Of American Stock Market Under The Financial Crisis

With the global economic integration continues to deepen, the world economyis increasingly linked. As macroeconomic "barometer", the co-movement betweennational stock markets has also showed a growing tendency, especially theco-movement between the stock markets of developed countries is more significant.As an emerging developing country, China’s economic development, in recent years,makes a growing contribution to the world economy, and even becomes a newdriving force of world economic growth, China’s economic interaction with the worldeconomy is growing. In addition, the Chinese stock market implemented the splitshare structure reform since2005, which fixed the stock market’s institutionalshortcomings, and the stock market has expanded rapidly in size. The introduction ofQD Ⅱ, QF Ⅱ and other measures have also strengthened the co-movementbetween Chinese capital market and other capital markets. The significance ofresearch on this issue is to help build and develop a reasonable and orderly capitalmarket liberalization process against the adverse effects on the domestic financialmarket from external shocks (particularly in the financial crisis).This paper’s study time is divided into three stages by the Subprime Crisis andthe European debt crisis. Check the co-movement between China and the U.S stockmarket through the correlation coefficient, VAR model, impulse response functionsand variance decomposition. Test results show that the two countries show someco-movement between the stock markets, and there is increasing co-movement withtime going on. nd the U.S stock market’s influence on the Chinese stock market isgreater than that of China’s stock market. In addition, it was found that during thecrisis (especially during the subprime crisis), the co-movement between the twocountries have improved significantly.The result of this paper has macro and micro reference value. Macro level: thestudy of co-movement between stock market indices reflects the degree ofinternationalization of China’s securities market, which is conducive to thegovernment to regulate the market and to guard against financial risks. As a"barometer" of economic development, co-movement between stock markets canalso help us better understand the links between the two economies. Micro level: ithelps investors to analyze the portfolio securities, securities pricing, stock marketstructures, which is meaningful in risk diversification and the improvementinvestment portfolio returns. It also helps listed companies to develop financingstrategies to achieve the internationalization of capital.