Abstract
With the development of economic globalization and financial liberalization, the linkage between the world's economies has been strengthened, and the linkage between financial markets has become more and more obvious. In this paper, Shanghai (securities) composite index, Shenzhen composite index, Hang Seng Index, Dow Jones Industrial Average and Nikkei 225 Index are used as samples from January 4, 2006 to April 28, 2016, and the error correction model and impulse response were used. The results show that there is a balanced relationship between Shanghai Composite Index and the Shenzhen Component Index, Hang Seng Index, Nikkei 225 Index and Dow Jones Industrial Average, and Shanghai Composite Index did Granger Cause Shenzhen Composite Index and Hang Seng Index, but did not Granger cause Dow Jones Industrial Average and Nikkei 225 index, which indicates that the Shanghai Composite Index has less impact on Dow Jones Industrial Average and Nikkei 225 index. China's financial deepening and reform has a long way to go.
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