Research On Dynamic Adjustment Analysis Method Of Coactivity Of Stock Index In Complex Environment

Since China’s accession to the WTO,the economic and trade cooperation between China and other countries around the world has been increasingly enhanced,and the connection between the capital market has become more and more close.The continuous enhancement of this connection is largely reflected in the correlation of the international stock market.Therefore,the correlation between stock markets has become a classic theme of scholars at home and abroad.For a long time,the American stock market has been the vane of the world stock market,and the study of the mutual influence between the Chinese and American stock markets has received more and more attention from scholars.In recent years,the international situation is very complicated.In 2015,The "stock market crash" in China,the Sino-US trade conflict and the novel coronavirus epidemic all dealt a serious blow to the world economy.In this complex environment,it is of great theoretical research value and practical significance to discuss the changes of the correlation between stock markets for preventing and resolving financial risks.In this thesis,the sample interval is divided based on the change of the correlation between stock indexes.In the past,most of such literatures select segmentation points by taking the occurrence of major events as a sign.In order to avoid the influence of subjective factors,this thesis adopts"time series segmentation algorithm based on important points" to divide according to the change of the data itself.Then,combined with econometric model,a dynamic adjustment analysis method is constructed to analyze the changes of the coactivity between Chinese and American stock markets in a complex environment,and the leading lag effect between stock markets is deeply discussed,providing countermeasures and suggestions for investors and relevant institutions respectively.The thesis selects the daily closing prices of Chinese stock market and American stock market from January 5,2015 to December 31,2020 as the research object,and selects the Shanghai Composite Index and CSI 300 index as the representative indexes of Chinese stock market,and the Dow Jones Industrial Index and Standard&Poor’s index as the representative indexes of the United States.Firstly,based on the whole sample range,the correlation between the two countries’ stock indexes is studied.By using the rolling correlation coefficient chart,it can be seen intuitively that the Chinese and American stock indexes show the characteristics of gradual enhancement.Then the whole sample interval is divided into five sub-intervals,and the dynamic adjustment analysis method is used to carry out empirical analysis on the five intervals respectively.The results show that,from the long-term trend,the US stock market has a significant guiding effect on The Chinese stock market,but the fluctuation of the Chinese stock market has a weak impact on the American stock market.There is a weak positive correlation between Chinese and American stock markets for a long time,but this weak correlation will show a significant trend of gradual enhancement,especially in the complex environment where some major events have shaken financial market.The linkage between Chinese and American stock markets is sometimes spot linkage,sometimes lag linkage.Generally,when the stock market is impacted,the speed of fluctuation contagion between stock markets will be accelerated,and investors will be more sensitive to market information,and the linkage will also be enhanced.At the end of this thesis,based on the above empirical analysis conclusions,This thesis provides suggestions for investors to allocate assets and make judgments on stock market trends,so as to reduce investment risks and improve returns.It also puts forward reasonable hedging suggestions from the perspective of financial policy makers to boost the healthy and rapid development of China’s financial market.