Researching For Co-movement Among DJI,DJT, Shanghai Composite Index And BDI

As the world economic integration process accelerating, the social, economic and cultural exchanges have become more frequent, contact increasingly close, international capital market is more and more. A country’s capital market not only by their own political, economic, social and other factors, also will be affected by other country’s political, economic, social, the influence of factors such as capital market, so the international scholars about the stock market correlation research more and more, because you can through the correlation research, find out the relationship between the stock market, can provide the basis for forecasting investment, economic policy, etc.In this paper, by using the correlation test, granger causality test and cointegration test methods to test the average, DJT, the SHIx, and the relationship between the BDI, inspection found that the average DJT highly related, the Shanghai index related to the BDI moderate, the Shanghai index and average and also a certain degree of correlation between DJT. The granger test results show that as the market leading indicator of BDI granger would be the other three index, and as the representative of the average granger would be the benchmark Shanghai composite index as a representative of the Chinese stock market. Cointegration test proves that the four index, there is no long-term equilibrium cointegration relationship between before and after the financial crisis, however, we can draw a balance of about four index cointegration relationship.On this basis, this paper use the event study method to research in some major events occur on the influence of four index, and examine whether the four index of the attack will produce linkage effect. Events to choose the 9.11 terrorist attacks, China’s accession to the WTO, the economic crisis and other twenty events. The research results show that in the selection of most of the events, the DJI, the DJT, and composite index to a larger impact, and produce linkage effect. In most cases, the BDI index linkage, most dramatic and volatile, a small number of cases, to its effects are not significant.