China and U.S. Stock Market Linkage Analysis
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Yue Zhong, Yan Zhang
We choose four representative indexes in the two stock markets– CSI 300,CSI 500, DJIA and S&P 500 for comparative study and analysis. The period from the outbreak time of COVID-19 in China to May 2021 is used for the study. First, we use the image to combine the COVID-19 data with the stock market return index, and the performance of the Chinese and American stock markets during the COVID-19 epidemic is analyzed intuitively through image comparison, then perform descriptive statistical analysis on the Chinese and American market indices, standardize the calculation of logarithmic rate of return, and then perform stationarity tests and autocorrelation tests, after that, the VAR (4) model is constructed to research the co-movement between Chinese and American stock market through empirical analysis, and the mutual guiding relationship between the two stock markets is judged through Granger causality test. Finally, we study the spillover effect between the two stock markets by impulse response function and analyze the results.Through empirical analysis, the co-movement between Chinese and American stock markets is studied and the following conclusions are drawn based on the empirical analysis results: the American market has a significant impact on the Chinese market, the American stock market has produced great volatility, which has been transmitted to The Chinese stock market in a very short time through risk spillover effect and market contagion effect. However, the risk co-movement exists one-way linkage, that is, one-way transmission from the United States to China.
Covid-19 epidemic, co-movement, Var