Research On Long Memory And Co-movement Of Stock Markets Between China And America

Stock market have a large impact on a country’s economic development,therefore theresearchers and managers are extremely concerned about the research of stock market.Graspthe basic characteristics of the stock market,not only can provide a reference forinvestors,decision-making and risk prevention, and more important point of reference to judgethe economic situation and the formulation of economic policy.In order to better study the Chinese stock market, combined with the U.S. stock marketwere analyzed. The selected data in this article is the presentative of China stock market aboutShanghai Composite Index and Shenzhen Component Index, as well as a representative ofthe America stock market about the Dow Jones Industrial Average and the Nasdaq index. Inthis paper, about the return series and volatility series of Chinese and American stock markethas a long memory characteristics or not, use the modified R/S method to analysis.The mainuse of the square of income,absolute income,realized volatility and fractional lower ordermoment to measure the return volatility. The results show that the return series of China andthe America stock market do not exist long memory, the sequence of its volatility exist longmemory.Then,establish the VAR model,use the impulse response function and variancedecomposition to further study the relationship between the rate of return and its volatility ofChina stock market, the empirical results show that the interaction between the rate of returnand volatility of China stock market.Finally, establish the VAR model,use the impulse response function and variancedecomposition to analysis，the result shows that the great impact of the price volatility of theShanghai Composite Index on the Shenzhen Component Index, and the great impact of theprice volatility of the Dow Jones Industrial Average on the Nasdaq index.Therefore selectShanghai Composite Index and the Dow Jones Industrial Average index to research therelationship between China and the America stock market.The research shows that thefluctuation of the America stock have a certain impact on the Chinese stock market,but theChinese stock market volatility does not influence theAmerica stock market.