The Analysis Of The Volatility And Relevance Of Chinese Stock Index And American Stock Index Under The Financial Crisis

The financial crisis which caused by the subprime mortgage crisis is sweeping up the world。The chief stock markets are shocked by the crisis badly.Not only the finance is damaged badly,but also the real economy is very bad.The crisis of the finance has a far-reaching consequences.Now,the finance crisis is becoming the hot topic by the people,and the government is managing to take measures to deal with it to prevent the further damage Just as the saying goes,when the nest is overturned,no egg stays unbroken.No matter the developing and the developed countries,no matter the emerging market and the transformation countries as long as it is the one member of the world,it means very serious to them.The Capital market has been flourishing with the development of the economy.I chose the chief stock index in China and USA to study the character of the volatility and relevance during the financial crisis.This paper select the Shanghai composite index,Shenzheng component index and Hengsheng index,also including the index of NASDAQ and Dow Jones in the USA.From the GARCH model and TARCH model,I can find character of the volatility during the financial crisis,and I can find the character of relevance through the graph of impulse response function based on the model of VAR.This paper find the character through the empirical study:The volatility of stock index in China and USA is more violent during the financial crisis.And relevance between the stock index of China and USA is stronger than other period.