China, The United States Of America, The European Association Of The Stock Index Fluctuation And The International Comparison Of The Impact Factors Of The Stock Index Fluctuation

This paper uses Granger test and cointegration test, impulse analysis, in the study, the United States and European stock index between short term and long term relationship, research found that:the world’s major stock index by the external shock, after the market conduction to the Shanghai composite index, the Shanghai composite index to a positive direction, and duration long, influence degree. On the other hand, after the Shanghai composite index by external shocks, to the impact of the world’s major stock index. Can determine that, the United States and Europe in the correlation between stock index, and the correlation is more and more big; China’s stock market and less impact on the developed market stocks, more affected by the outside world, and there are a lot of irrational investors,"herding effect" is more prominent on the stock market; To further research the impact of stock index volatility factors, contains a variety of impact factors of the panel regression model is set up, the dollar liquidity as the stock market systematic risk factor is introduced into model, and based on the differences of national capital market opening degree, from a global stock market, developed market stocks, emerging market stocks three angles, transverse comparison of stock index volatility impact factors, and draw the corresponding conclusions:first, the main factors influencing the stock index stock index is lag and dollar liquidity factors, index lag variables impact on emerging markets in the developed markets increased, and lagging index variables for emerging market investors have greater reference value; Second, the dollar liquidity factors impact on developed markets and emerging market stock index significantly, for emerging markets influence coefficient larger; Third, money supply factors for developed market index effect was not significant, impact on emerging market stock index and coefficient significantly larger; Fourth, overall, interest rate factor is negatively related to the stock index, the index of impact is weak; Exchange rate index almost no significant effect; GDP growth factors influence on indexes is relatively small.