| With the economic globalization,the opening of capital markets and the deepening of international trade,the comovement between stock markets around the world is becoming more and more significant.Scholars’ research on the comovement of stock markets is no longer limited to the stock markets of developed countries.Recent research has found that there is a comovement effect in the stock markets of BRICs countries,and even the comovement between the stock markets of developed and developing countries is increasing.As an emerging stock market in China,the comovement between the Sci-tech Innovation Board and Nasdaq,as the "American Sci-tech Innovation Board",can not be ignored after the Sci-tech Innovation Board shares are incorporated into the MSCI China A-share index.It is of great value to study the comovement between NASDAQ and the Sci-tech Innovation Board,which is of great significance to investors’ allocation of investment portfolio,China’s response to the risk of financial crisis infection,the establishment of financial market detection and early warning index system,and the improvement of information disclosure of overseas institutional investors.This paper studies the event that the Sci-tech Innovation Board shares are incorporated into MSCI.Firstly,it expounds the relevant theoretical basis of stock market comovement,compares the market overview of the Sci-tech Innovation Board and Nasdaq,and then combs out the process of the Sci-tech Innovation Board shares being incorporated into the MSCI China A-share index.On this basis,taking the daily trading returns of Sci-tech Innovation 50 index and Nasdaq 100 index as samples,the first trading day after the benchmark date of Sci-tech Innovation 50 index,January 2,2020,is selected as the starting time point and December 10,2021 as the ending time point to carry out the research on the comovement between NASDAQ and Sci-tech Innovation Board.Among them,MSCI’s first and second incorporation in the Sci-tech Innovation Board is selected as the time node,and the sample is divided into three stages.From the perspective of return and volatility,Granger causality test and dcc-garch model are used to analyze the comovement characteristics before and after the whole sample and sub sample stages.Finally,HP filter method is used to analyze the periodic characteristics of the two markets.Through Granger causality test,it is found that after the Sci-tech Innovation Board shares were first incorporated into MSCI,the guiding role of the comovement between NASDAQ and the Sci-tech Innovation Board changed.Before the Sci-tech Innovation Board shares were incorporated into MSCI in May 2021,the sample evidence could not prove that there was two-way guidance between NASDAQ and the Sci-tech Innovation Board.During the period from May to August 2021 when the Sci-tech Innovation Board shares were first incorporated into MSCI,the Sci-tech Innovation Board has a short-term guiding effect on NASDAQ.After August,the guiding effect of the scientific innovation board on NASDAQ is not significant,but after August,the Nasdaq market has a significant guiding effect on the Sci-tech Innovation Board,and Nasdaq always has a guiding effect on the Sci-tech Innovation Board during the whole sample period.Then,through the dynamic correlation coefficient model,it is concluded that there is no positive correlation between NASDAQ and the Sci-tech Innovation Board at the initial stage of the sample.After the Sci-tech Innovation Board shares were incorporated into MSCI for the second time in August 2021,there is positive correlation between the two markets and tended to be stable.After that,the HP filtering method is used to analyze the monthly data of the sample,and it is concluded that after the Sci-tech Innovation Board shares are incorporated into MSCI in May 2021,the cycle characteristics of Sci-tech Innovation Board and NASDAQ are consistent,with peaks and troughs lagging behind each other for one month.To sum up,the comovement effect between NASDAQ and the Sci-tech Innovation Board is indeed affected by the incorporation of the Sci-tech Innovation Board shares into MSCI.Finally,combined with the research conclusions and practice,this paper provides feasible suggestions from the aspects of financial market detection and early warning index system,establishment of international information disclosure system and investor protection mechanism in order to prevent the risk of contagion in the financial market when foreign capital deeply participates in the investment of Sci-tech Innovation Board. |
