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The Research On The Co-movement Between Shanghai A-share Market And Main Stock Markets In Asia-Pacific Region

Posted on:2018-01-23Degree:MasterType:Thesis
Country:ChinaCandidate:X K HeFull Text:PDF
GTID:2359330512497618Subject:Finance
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After China's accession to the WTO,China's trade is becoming more and more frequent with the rest of the world.The import,export trade and mutual investment of China with the Asia-Pacific countries are rising year by year.QFII system accelerates the integration of China and the world's financial markets.The outbreak of the financial crisis in the United States brought the global financial market disastrous consequences.On account of this,this article meanly studies China's stock market with the major developed countries' stock markets,such as South Korea,Japan,Singapore,and major emerging market countries' stock markets,such as Malaysia,Indonesia,India.Firstly,this article make a brief review of the relevant theories and literature about co-movement.On this basis,analyzing the factors that affect the co-movement among these seven markets.This article selects China's Shanghai index,South Korea's KOSPI index,Japan's Nikkei 225 index,Singapore's Straits Times index,Indonesia IDX Composite index,Malaysia KLCI index and India's BSE SENSEX.Taking the time of January 1,2003 as a starting point,taking the United States financial crisis of August 1,2007 as a node,and dividing the paragraph of time into two sections.Secondly,analyzing correlation coefficient among the Shanghai stock market closing price with the other six stock markets',making logarithmic statistic description of the seven markets,making ADF unit root stationary test.If the Shanghai and the other six stock markets pass co-integration test,setting up error-correction model,employing Granger causality and variance decomposition.Doing systematic analysis on co-movement relationship among the Chinese stock market and the six Asia-Pacific countries stock markets.Finally,in a conclusion,(?)in the first stage,the Shanghai Stock Exchange with Malaysia,Indonesia,South Korea Singapore and Indian's stock market passed the co-integration test.(?)In the first stage,Shanghai with the only developed country of Singapore stock market has one-way Granger causality test.In the second stage,with all this three developed countries,India and Indonesia two emerging country markets have one-way Granger causality.(?)In the first stage,the Shanghai with Singapore stock market,and in the second stage,Shanghai with Korea,Japan,Singapore,Indonesia and Indian stock market has obvious effects to themselves,but has smaller reactions to the volatility of the other stock markets.To sum up,the Shanghai with the six stock markets only exist strong co-movement in the second stage,and has stronger co-movement with the developed countries.
Keywords/Search Tags:Co-movement, Co-integration test, Granger causality test, Error correction model, Variance decomposition
PDF Full Text Request
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