| With the countries around the world deepth their economic relationship,the stock market of countries often rise and fall together.So is this happening occasionally?If not,what is the correlation between them?How strong is the influence intensity?What is the transmission mechanism?In this paper,I use Copula model and DCC-GARCH model to analysis the correlation between Chinese and American stock market.Copula model can well capture the tail and the symmetry of financial time series,DCC-GARCH model can analyze the time-vary characteristic between Chinese and American stock markets.The details are as follows:Through literature analysis,this paper sorts out the current scholars’ research methods on the transmission mechanism and co-movement of the stock market.Transmission mechanism is divided into tangible economic basis hypothesis and intangible market contagion hypothesis,which constitute the joint transmission mechanism of stock market.In this paper,I select the daily closing price data of Shanghai Composite Index and NASDAQ Index from January 2015 to January 2021 as the research object,and the Granger test,ARMA(P,Q)and GARCH(P,Q)models are used to describe the comovements between Chinese and American stock markets.The results show that the optimal ARMA models of Chinese and American stock markets are ARMA(5,2)and ARMA(0,2),and the optimal GARCH models are GARCH(1,1).The co-movements of Chinese and American stock markets presents a one-way transmission,and the fluctuation of the American stock market will be transmitted to the Chinese stock market,and is not affected by the fluctuation of the Chinese stock market.China’s equity markets have been subject to external shocks for even longer.According to the fitting results of Copula model,the optimal Copula model was Grumbell-Copula.The co-movement of Chinese and American stock markets was more sensitive at the top tail,that is,there would be a strong correlation in the bull market.Chinese and American stock markets are more correlated in bull markets than bear ones.According to the dynamic correlation coefficient diagram of DCC-GARCH,the correlation coefficient between two sequences is time-varying.The correlation between Chinese and American stock markets will be temporarily enhanced when exposed to non-human events such as systemic risk and sudden public health events,while it will be significantly reduced when faced with man-made trade barriers.According to the impulse response function,it is found that the Chinese and American stock markets are associated with international capital flows Market contagion effect and economic policy effect have a positive effect on the co-activity change of Chinese and American stock markets,in which the co-activity has the largest impact on its own,and the international capital flow has the smallest impact.The strengthening of international trade has a certain negative effect on the co-activity change in the early stage,and then becomes positive According to the variance decomposition,found that changes in the correlation is mainly influenced by itself,in the rest of the four variables,the market panic accounted for the largest,the correlation change has a significant impact,followed by the intensity of trade,also can have a greater degree of impact on correlation change,the uncertainty of economic policy to permit can also have a certain degree of impact,spreads the impact on the correlation is the minimum。Summarize the above studies,put forward the policy suggestions on improving the domestic financial market. |
