The Study Of Co-movements Among Mainland China Stock Market And International Stock Market Under Financial Crisis And European Debt Crisis

With the world economy’s intergraded and the deepening of financial reforming，the co-movement of the important country stocks is strengthened。Especially aftercrisis，Mainland China stock market and Hong Kong stock market、America stockmarket、German stock market are the important stock in the world，the co-movementof the stocks is strengthened。The studying of the co-movement of the stocks，it hasimportant significance。The thesis takes CSI300and HI、DAX、S&P500as the object of the research。2005-4-8to2012-12-31is subject investigated，financial crisis and European debtscrisis is demarcation point，analysis the co-movement。The main findings：（1）Through the whole period，Mainland China stock effectsHong Kong stock in one-way transmission；after crisis，DAX and S&P500are theGranger causal relation of CSI300；（2）CSI300is more impacting HI；（3）Throughthe whole period，the relation of CSI300and S&P500with the relation of CSI300and DAX exist a long-term balance，after the crisis，the relation of CSI300and HIdoes not exist a long-term balance；（4）The co-movement degree of the volatilityrates between CSI500and HI is highest，After crisis，the co-movement degreebetween CSI300and others enhances, whether before or after the crisis；（5）macroeconomic variables impact the price of CSI300。...