The Association of Stock Index among the market of China, US., and Japan

With trend of globalization in international financial market, more intimate of capital flows was formed day by day in capital market. Thus, it is important to understand the relationship of individual country in international stock markets. The main purpose of this study is to explore the relationship of stock index among the China, US., and Japan. The study period was covered from March 2001 to December 2006. By using the cointegration test, Granger causality, and forecast error variance decomposition to identify whether the stock market exits long-term relationship among the China, US., and Japan. Results show that six stock indices present severe volatility, however, there is no cointegration relationship. Further, Shanghai B Shares ahead of other three stocks and influence each other. Finally, the US´ stock ahead of Shenzhen B Shares and Japan´s. China stock market is closed, that stock index was no influence by US. and Japan markets.