An Empirical Research of Co-movement Effects Between China Stock Market and World Major Stock Markets

In this paper we use data of Shanghai stock market and world major stock markets between June 1 2006 and December 31 2009 to study the empirical relations between Shanghai Stock exchange composite Index and world major stock markets.We find that there isn't any long term equilibrium relation between shanghai stock exchange composite Index and world major stock market.Another results is that Shanghai stock market is sensitive to american stock market impulse.