Research on the Linkage between Chinese and American Stock Markets

Abstract

This article selects the VAR model to explore the performance linkage between Chinese and American stock markets. Firstly, this article selects the Shanghai and Shenzhen 300 Index and the Dow Jones Index as representative variables of the Chinese and American stock markets, uses daily data from March 1, 2017 to December 29, 2023 to construct and estimate VAR models, conduct model estimation, and analyze impulse responses. Finally, it concludes that there is a lag effect linkage between Chinese and American stock markets, with both indices showing positive volatility. The Dow Jones Index has a positive impact on the Shanghai and Shenzhen 300 Index, and vice versa. Based on this conclusion, it suggests that when formulating cross-border investment and risk management strategies, one should consider the impact of significant events affecting both Chinese and American stock markets.