An Empirical Study On The Dynamic Shock Effects Of The Chinese And American Stock Markets

In the past few years,as part of the policy has been put forward,China's stock market has speeded up its opening to the outside world.The influence of the international stock market has also strengthened China's stock market.Firstly,this paper analyzes the domestic and foreign research status of the literature.Secondly,from the theory of finance,we can get the theoretical basis for the impact of stock market on other countries' stock market.Thirdly,this paper selects 8 stock index which from China and the United States to establish panel VAR model.This paper uses the impulse response function of VAR model to analyze the influence of one country's stock market when other country's stock market suffers severe fluctuations.At last,a comparative analysis of the dynamic impact effect between Chinese and American stock markets in the bull market cycle and bear market cycle was discussed.The main findings are as follows.:(1)In the first lag,the US stock index yield is the granger cause of China stock index yield.(2)In both bull and bear markets,The US stock index return with first lag has an impact on China's stock index returns while the bear market has a greater impact.(3)In the full cycle,the impulse response function shows that when China's stock index is impacted by impulse response,the impact time of the whole cycle on itself is two,and the influence time of the bull period is longer than the bear market cycle.After the impact of China,the impact of the full cycle on the US stock index is two,and the period of the bull market is longer than the bear market cycle.(4)When the US stock index suffered impulse response,its impact on China's stock index ended in the first phase in the full cycle,the impact on China's stock index ended in the bull cycle,the impact on China's stock index ended in the first phase of the bear cycle.(5)The variance decomposition function shows that most of the variance comes from itself and remains unchanged after the second stage,whether it predicts the future variance of China's stock index or US stock index.This paper proposes the following suggestions to Chinese stock market participants and regulators:(1)Chinese stock market investors need to pay attention to global stock market volatility.(2)When the international stock market takes a hit,the regulators need to take steps to reduce the impact on China's stock market.(3)Participants in the stock market take different trading strategies based on the different conditions between the bull market and the bear market.(4)Regulators carry out different regulatory policies in the bull market cycle and the bear market cycle.