Research On The Correlation Of Stock Price Fluctuation Between New York And Shanghai Stock Exchanges

This article examines the volatility of the stock prices of both the New York Stock Exchange and the Shanghai Stock Exchange during the period 1997-2016.The data will be divided into diffeupon recent financial crises.For example,the dotcom bubble of 2001 and rent sampling ranges based the 2008 subprime crisis to see if there were differences in how the capital markets affected on another.The study found that there was no significant difference in the volatility of stocks between the New York Stock Exchange and the Shanghai Stock Exchange.Though overall the Shanghai Stock Exchange was less volatile when new observations were made however there was more volatility that remained from one observation to the next.There are more significant test results when using the GARCH model,that showed that Shanghai carried over more volatility from one observation to another.Also,the Granger causality test has found that the stock prices of the New York Stock Exchange and the Shanghai Stock Exchange have a short-term cointegration relationship at specific periods of time.When using the pulse response function and Johansen cointegration tests,the stock price between the two securities markets,also show a long-term cointegration relationship at certain periods of time.The existing research has shown that there is a correlation between Hong Kong Stock Exchange and the stock prices of these two markets,and the research conclusions of this paper are consistent with it.