Analysis Of Characteristics And Causes About Stock Market Correlation Between China And Other BRICS

In the post crisis era,the world economy is stepping into the new normal of weak growth and weak demand.The BRICS' economic growth appear differentiation,China and India step into the stage of structural adjustment and the economy is facing downward pressure,in Brazil and Russia,a substantial decline happens in the growth rate and the economy continues to slump,once negative growth.Economic structure is not reasonable and the expectations of future growth concerns the Chinese stock market in 2015 year fall sharply,under the effect of international stock market correlation,BRICS' stock market turmoil.This paper starts from the stock market linkage between the China and other BRICS to exploring the characteristics of co-movement,and construct trade intensity and financial liberalization to run regression for linkage to verify the causes of co-movement behind China and other BRICS.By this to accelerate the financial cooperation between China and other BRICS,jointly deal with the global economic' new normal.In the study into the co-movement of stock markets,the thesis applies regression model,co-integration test,Granger causality test and impulse response function to analysis monthly stock excess return rate data of 2001 to 2015 between BRICS.Dividing the study into three stages according to the process of China's capital market reform and development,use the method of comparative analysis to explore the time serial changes in the BRICS stock market linkage.Empirical results show that after 2011 China's stock market has a significant guiding role in the BRICS stock market,but other BRICS stock market has no obvious influence into China.Meanwhile,it is found that China's stock market has a four months impulse for other BRICS stock market.During the regression analysis of trade intensity and financial freedom for return index,thesis constructs trade intensity index based on China and the BRICS' import and export trade data.Constructs financial freedom index by centering on the degree of the opening up of China's financial market and constructs correlation coefficient by daily band of two stock markets in same day to explore the internal mechanism behind the China and other BRICS.The empirical results shows that trade intensity can well explain the characteristic of co-movement between China and other BRICS,it is because the significant increase happens in China's trade with the BRIC countries after financial crisis in 2008,China has been more and more important role in guiding the other BRICS' stock market.However the interpretation of the openness of Chinese financial market into the BRICS stock market linkages has slightly appeared weaker.This thesis not only study into the BRICS' stock market linkage,account the real economy trade intensity behind the China and other BRICS' stock markets.By linking ends of the capital and the entity,the thesis can provide a new perspective of studying the BRICS' capital market relations,and provide a theoretical basis for Chinese capital to help BRICS countries'industrial upgrading in the new normal.