Study on Openness of Chinese stock market based on wavelet analysis

摘要

The openness of a stock market is measured by the price impact of other stock markets on it.The article uses wavelet analysis to eliminate noise in stock price signal;and use SVAR,impulse response analysis and variance decomposition to analyze the degree of the Shanghai stock market affected by the fluctuations of stock markets of Hong Kong,Tokyo,New York and London.The results show that the openness of the Shanghai stock market is improving gradually.