Impact Of A-share Incorporation Into MSCI On The Linkage Between Chinese And American Stock Markets

With the integration of international finance,stock markets in many countries in the world show a trend of rising and falling together.Especially after the outbreak of the subprime mortgage crisis in 2008 in the United States,the new strategies adopted by governments around the world to cope with the financial crisis and the global chain effect caused by the subprime mortgage crisis make the stock market of many countries rise and fall at the same time.The trend of linkage between global financial markets has increased significantly.The correlation between different stock markets is not only reflected in the United States,Britain,Japan and other developed countries,but also in China,India,Malaysia and other developing countries in recent years.This paper studies the event of A shares being incorporated into MSCI,and explores its impact on the linkage between Chinese and American stock markets.This paper makes an empirical analysis of the linkage changes between Chinese and American stock markets through various empirical measurement tools,and explores the linkage relationship between Chinese and American stock markets from various aspects.The main results are as follows:Firstly,this paper chooses CSI 300 Index and S&P 500 Index from June 2016 to April 2019 as sample data,and uses Pearson linear correlation coefficient,Spearman rank correlation coefficient and DCC-GARCH model to draw a conclusion that Chinese and American stock markets show positive correlation before A shares are included in MSCI formal announcement.During the year from announcement to formal implementation,the linkage between Chinese and American stock markets is significant.After the formal implementation,the linkage between Chinese and American stock markets has continued to increase.But overall,the linkage between Chinese and American stock markets is weak.Secondly,this paper uses Granger causality test to draw the conclusion that there is little influence between Chinese and American stock markets before A shares are included in MSCI announcement.After that,the main reason is that the changes of American stock market will have an impact on Chinese stock market,and vice versa.