Linkage Study Of The Major Stock Markets In Asean-5 With China’s Stock Market

In recent years,China and ASEAN have been playing an important role in the world economy.Since the establishment of China-ASEAN Free Trade Area,the trade and investment relations between China and ASEAN have been strengthened.Meanwhile,the stock market is also known as a macroeconomic"barometer".As stock market can reflect the macroeconomic situation,therefore,some scholars pay attention to study the linkage of the Chinese stock market and the main stock market of ASEAN.This paper based on cointegration model,VAR model and GARCH model,use the data of stock index,log return and volatility analyse the linkage of the Major Stock Markets in ASEAN-5 and China’s Stock Market.Firstly,this paper gives the descriptive statistics of the stock index and the log return of China and ASEAN countries.Then we discussed and compared the series of Chinese and American stock markets.Secondly,we analyse integration by cointegration model.Then,we use Grainger causality test,impulse response function and variance decomposition analysis to explore the mean spillover effect between China with ASEAN stock market.In order to reflect the dynamic trend of the linkage between China and ASEAN stock market,we using DCC-GARCH model to analyze the time-varying correlation coefficient.The empirical research results show that stock market of China and Singapore have the strongest linkage.Chinese stock market have unilateral Granger causal-effect relationship to Thailand stock market and Malaysia stock market.This shows that China’s stock market has a certain impact on the ASEAN stock market.The empirical results of DCC-GARCH models show that the financial crisis in 2008 and the Chinese financial crisis in 2015 have significant influence on linkage of the Major Stock Markets in ASEAN-5 with China’s Stock Market.