Abstract
This paper firstly introduces the background Chinese stock market and the US stock market and achievements about research them. By studying several important indexes of both China and the United States and using statistical analysis, this paper try to find out the whether there is a linear correlation between the Shanghai composite index and the United States Dow Jones industrial average index. The paper collects two stock indexes data from May 4th,2009 to May 24th, 2010, then uses EVIEWS5.0 software GARCH model to analyze these data. Moreover, the paper considers also the other factors to influence the correlation between Chinese stock market and the US stock market. Examples: comparative analysis of two countries stock markets fluctuations during financial crisis, or gulf war, full consideration of the objective factors to lead to these volatility so that more accurate results to be given. Finally, through the comprehensive research and analysis of China's stock market we conclude that it is weak U.S. equity markets. Maybe it gives some help and guidance for the majority of the investors.
Keywords: correlation；Dow Jones Industrial Average；Shanghai composite index；Financial markets
