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The Analysis of Return Comovement of Chinese and American Stock Market During Pre-and Post-Subprime Mortgage Crisis

Author: NiZhenZhou
Tutor: JiYuFeng
School: Donghua University
Course: Finance
Keywords: Subprime mortgage crisis Linkage between yield VAR model Stock market
CLC: F832.51;F224
Type: Master's thesis
Year: 2011
Downloads: 111
Quote: 0
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Abstract

The 2007 outbreak of the U.S. subprime mortgage crisis sweeping the globe, causing a huge impact on the world's major stock markets. In the economic globalization of today, whether developed or developing countries, both emerging market economy country or countries in transition, as long as it is one of the world's economy, are far-reaching impact of the subprime mortgage crisis impact are enormous, China's stock market. This article focuses on the major events of the U.S. subprime mortgage crisis, sub-prime mortgage crisis broke out as a watershed, the study period is divided into before the subprime mortgage crisis and the subprime crisis after two periods, study the yield of the stock market in China and the United States in the two periods linkage , and empirical analysis of the results of a comparative analysis, which examine the linkage between China and the United States stock market gains rate differences before and after the subprime mortgage crisis, and to analyze the reasons for its formation. On the basis of a literature review, this paper first elaborated the stock market between the rate of return linked nature of theoretical foundation and formation mechanism, followed by the introduction of this paper empirical analysis of the use to the VAR model and other measurement research methods, and then select the Shanghai Composite Index, the Dow Jones Industrial Average and the Standard \u0026 Poor's 500 index of these three indices as the representatives of China and the United States stock market, after data preprocessing and basic inspection, using the VAR model to an empirical analysis of the linkage between the yield of the stock market in China and the United States before and after the subprime mortgage crisis, and a comparative analysis of the empirical results. Empirical and comparative analysis of the results showed that: compared with before the subprime mortgage crisis, subprime mortgage crisis linkage between China and the United States stock market yield significantly enhanced before the subprime mortgage crisis, China and the United States stock market yield weak linkage between whether the impact of China's stock market to the U.S. stock market in the sub-prime crisis, the impact of the U.S. stock market on the Chinese stock market are significantly enhanced. In addition, before and after the subprime crisis, the U.S. stock market on the Chinese stock market is stronger than the impact of China's stock market to the U.S. stock market. Finally, combined with the linkage between the theory and the formation mechanism of the rate of return, the linkage between the Sino-US rate of return on the stock market before and after the subprime mortgage crisis reasons for the differences, this paper gives the relevant recommendations from multiple perspectives. The linkage of the measure of the rate of return method level of innovation, using generalized impulse response function instead of the impulse response function of the existing literature, so that sort of empirical results from the model variables impact addition, the empirical analysis The combined rate of return on the basis of the linkage between theory and formation mechanism of in-depth analysis of the empirical results, more complete research ideas and research framework. In the context of economic globalization, the impact of the subprime crisis on the stock market of China and the United States is far-reaching, the stock markets of the two countries have demonstrated dramatic fluctuations, this study comprehensively reflect the subprime crisis around the yield of the stock market in China and the United States linkage, and illustrate the linkage of the impact of the subprime mortgage crisis on China and the United States stock market rate of return, with his country's stock market linkage between research and the healthy development of China's stock market has important theoretical and practical significance for China's stock market.

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CLC: > Economic > Economic planning and management > Economic calculation, economic and mathematical methods > Economic and mathematical methods
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