|
Increasingly rapid pace of economic globalization , economic globalization to improve the efficiency of the allocation of international resources , but when a country's financial crisis , the financial crisis through a variety of channels to pass to whom have close ties with the country , the impact of the country's stock market . With the implementation of a series of open-door policy of the Chinese stock market , China's stock market is becoming more and more closely linked with the global stock market , the outbreak of the financial crisis in the United States , causing a huge impact on China's stock market . Therefore, in the growing period of the Chinese stock market , before and after the financial crisis, China's stock market and international stock market linkage between research has important practical significance . In order to compare the before and after the financial crisis, China's stock market and international stock market linkage extent cointegration analysis , Granger causality test based on the moving time window , DCC-MVGARCH model , two perspectives on the Shanghai linkage linkage from the yield and volatility Composite Index and the S \u0026 P 500 Index , the London FTSE 100 index , the Nikkei 225 index , Hong Kong 's Hang Seng Index linkage between study interval is December 11, 2001 to 2011 , and 2008 on September 15 as the cut-off point . The empirical results show that : ( 1) financial crisis , China's stock market and the main international stock market linkage enhancements ; (2 ) whether it is before the financial crisis after financial crisis , the Shanghai Composite Index and Hong Kong's Hang Seng index volatility strongest linkage between them ; (3 ) whether it is before the financial crisis after the financial crisis , the degree of linkage of the Shanghai Composite Index and the UK FTSE 100 index volatility is always higher than the degree of linkage with the U.S. Standard \u0026 Poor's 500 Index . This shows that after the outbreak of the financial crisis , China's stock market and international stock market linkage enhancements , however, the linkage between increased brought huge achievements in China's stock market , but also for China's stock market has brought risk , therefore , China 's policy -makers continue to implement the policy of opening up to the outside world , it should strengthen the supervision over the market , the impact of the prevention of international stock markets on the Chinese stock market .
|