The Research On The Fluctuations Between The Stock Market Of The China And The U.S. And The Gold Market

China’s stock market is formed in the1990s,and it’s an emerging market.After20years of development,Shanghai and Shenzhen market grow rapidly and has become one ofthe world’s major stock markets.With the global economic integration and deepening offinancial integration, different correlation between financial markets in growing, prices andvolatility in financial markets is not only affected by internal factors, but also affected byother market fluctuations which means different markets has the volatility spillovereffects.The2008financial crisis sweeping the global capital markets and the realeconomy.It caused a huge impact of the crisis from Wall Street to the rest of the world.Toreduce the loss, people sell different assets.In2008,the United States, China,Germany,Hong Kong, Japan and other world’s major stock markets fell40percent.Financial marketsare filled with panic.At the same time,the real estate bubble burst,commodity prices fall,thespeed of the growth of the world fallen.However,the go1d price rises heavily,and catchespeople’s attention.In modern financial markets, stocks and gold are two importantinvestment products,the volatility of them are also the focus of academia.In this paper,we selects the Shanghai Stock Exchange Composite Index and theU.S.S&P500index as the representative of the stock market,the New York gold price andthe Shanghai Gold Exchange Au9999as the representative of the gold market.The sampledata are from January2,2003to December31,2013which contain a11-year period.Wetry to fit GARCH model of stock and gold markets by the stationary test,the correlation testand the ARCH effects.Then,through establishing GARCH models,we studies theasymmetry and the correlation between the two markets.At last,the result shows thatcompared to the United States, the correlation between China’s stock markets is lower andthe linkage is not high, the spillover effect is not obvious.