Information Transmission Problems In U.S. Stock Market, Crude Oil Market And Foreign Market

As the world financial system reforms deeply and the innovation development of the financial market, the correlation between financial market is gradually strengthened. More and more investors are no longer only focus on only one financial market to determine the investment decisions, but rather focus on a few financial markets at the same time to analyze one financial market to make reasonable investment decisions.Through the analysis of the correlation within U.S. stock market, the international crude oil market and the foreign exchange market, this article reveals the rule in these three markets and provides policy recommendations to stakeholders. At present, most of the domestic research focuses on the Chinese stock market, the international crude oil market, the foreign exchange market.And most study use daily trading data as the sample data. The innovation of this article lies in:first, from the perspective of the international view, the U.S. stock market is used instead of Chinese stock market since that our stock market mechanism is imperfect which causes the problem of insufficient market data information. Second, the American stock market, the international crude oil market and foreign exchange market are all selected in our analysis. Third, we select the S&P 500, the Texas intermediate prices and the exchange rate between dollar and euro 5 minutes high-frequency data in the same period when U.S. financial markets and European financial markets are trading.The article consists of three parts:sample variables selection reasons; using macroscopic and microscopic structures explaining the linkages between these markets; empirical part dealing with the links between and among the three markets. At last, the paper proposes some policy recommendations to the stakeholders according to our statistical analysis results.