Evolution of Correlations among Stock Markets in Hong Kong, Shanghai and the US

The paper examines weekly earnings data between January 2000 and August 2008 of Hong Kong's Hang Seng index, Shanghai Composite Index and the U.S. S & P 500 index, adopting the method of moving correlation coefficient series analysis and finding that the correlation between Hong Kong market and Shanghai market is in a trend of steadily increasing; Shanghai market and the U.S. market is of very low correlation, basically can be recognized as independent fluctuations; although Hong Kong market has been closely associated with the United States market, from 2007, with the stable increase in correlation with Shanghai market, the impact of the United States market on Hong Kong market is rapidly weakening, Hong Kong market is getting more influenced by Shanghai market.