Sino-us Stock Market Linkage Analysis In The Post-crisis Period

With the increase of Chinese economic strength and the gradual improvement of the financial market,the economic linkage between China and the United States is increasing.The current global financial crisis triggered by the United States has had a negative impact on China's financial and real economy.This study measures the rate of return of Chinese and US stock markets in the post-crisis period,calculates the static correlation coefficients,and uses the DCC-GARCH model to analyze the dynamic correlation of the yield fluctuations in the Chinese and US stock market,and discusses the Whether the U.S.stock market has new features of linkage in the post-crisis era has obtained relevant conclusions with soundness.Subsequently,a Granger causality test was performed on the volatility indexes of the US stock market in the sample interval.Finally,based on the empirical results of the DCC-GARCH model,the entire sample is divided into four sub-intervals,and the “ leading-lagging ”causality between the fluctuations in the rate of return is examined in a segmented manner.-The main conclusions of this paper are as following: First,the level of linkage between China and the United States stock market is relatively high,the degree of mutual influence is strong,and the continuity is longer.Secondly,the dynamic correlation coefficient between Chinese and US stock markets fluctuates roughly between 0.1-0.15 within the entire sample range,and the static and simple correlation coefficient is 0.148.That is to say,the overall dynamic linkage between the US and China stock markets after the economic crisis stabilized at around 0.1-0.15.The dynamic static correlation coefficient gap is not large,indicating that the dynamic correlation results are robust.Thirdly,from the perspective of dynamic correlation results,the return of China-US stock market returns in the late period of the economic crisis,and the different correlation characteristics presented at different stages are affected by the economic situation and economic policies of the two countries.As well as other factors.Fourth,the Chinese and US stock market fluctuations are the Granger cause,that is,the changes in the stock markets of the two countries can influence and predict each other.The volatility of the US stock market has a stronger predictive effect on the volatility of the Chinese stock market.The following implications are derived.First of all,the higher linkage between earnings fluctuations in the stock market of China and the United States reflects the integrated development of the stock market and financial markets of the two countries,which reflects the enhancement of China's economic strength and the increase in the degree of openness of the financial market.However,this kind of global financial integration has also developed.It poses risks for China's financial market stability and economic development.Relevant regulators should strengthen the supervision of the international flow of financial assets,pay close attention to the fluctuations of the world's financial markets,especially the United States,and prevent the impact on China's financial stability.They should also strengthen the independence and innovation of relevant regulatory policies to deal with possible globalsystemic issues.Risk exposure.Secondly,the enhanced linkage between China and the United States stock market makes it necessary for the relevant authorities to incorporate the spillover effect of preventing the uncertainty of future US financial markets into the framework of China's financial supervision and regulation.Thirdly,for investors,the linkage between China and the US stock market has increased and there is a certain degree of instability.The US stock market provides more investment markets for Chinese investors and also weakens the decentralized investment effects of the two countries' stock markets.Reduce the profitability of diversified investments.Therefore,domestic investors or investment institutions need special care when choosing investment in the U.S.market to make decisions.