Research On The Comovements Of International Stock Markets

Since the reform and opening-up,China followed the policy of Equity division reform,introduced QFII and QDII on the capital market step by step,conditional,limited gradually open to the outside world.China's capital market has become an important part of the international capital market,the stock market has also been a great degree of development,and the contact with the major national stock market more closely.The US as the most economically powerful country with a strong international presence.Japan's economic is strong and have certain geographical origin with our country.The stock markets are more mature,the link between stock markets has a certain guiding significance of investment to investors,and benefit to formulate national economic policy.We test the comovements between China stock markets,US stock market and Japan stock market With the methods of Granger Causality Test and Johansen Cointegration Test on Shanghai composite index,Hang Seng index,S&P 500 Index and Nikkei 225 index.This paper is divided into three parts.In the first part,this paper focuses on the research results of the relationship between China and other country's stock markets,the impact of economic globalization on the comovements of stock market in Major countries in the World,the impact of economic policies and investor ' s expectation on tne comovements of stock market,which provide the the basic theoretical support for the research.In part two,mainly do some empirical tests.At first,we select the sample data,then Test for Descriptive Stats,Unit Root Test,Johansen Cointegration Test,Vector Error Correction,Granger Causal Relation Test,then analyse the comovements between China and US,Japan's stock market through the empirical analysis.In part three,it's mainly the conclusion of the thesis,through empirical research,it is found that the comovement between Chinese stock market and US,Japan's stock market is gradually enhanced,but this effect is one-way.On the one hand,in three stages,US stock market affect changes in China's stock market,there is no impact of China's stock market situation in the US stock market;on other hand,the Japan' stock market has affected the changes in China's stock market in first stage.With the recovery of China's economic development,stock market development increasingly standard mature.in the second and third stage,the emergence of China's stock market changes in the Japanese stock market situation.At last,according to the results of the thesis gives some suggestions to regulators,individual and corporate investors.Through the research of this paper,the paper analyzes the relationship between the China and America,Japan's stock market at different stages,We can see that the relationship between three countries' stock market is getting closer increasingly.But because of the immaturity of China's stock market led to this effect is one-way.Research on the comovements between national stocks can promote the development of China's stock market while avoiding or mitigating the negative impact of comovements.