This paper investigated the co-movement of stock markets through a comprehensive discussion of the effect from financial liberalization, trade intensity and market contagion. The results show that trade intensity is the main determinant of the co-movement between China and the U.S,while the financial liberalization,surprisingly,exhibits an insignificant negative effect to the correlation. Further,with the increase of the trade intensity between China and the U.S, there is an increasingly strong correlation between the two stock markets. Nevertheless, the dependence between these two markets is low,which might be caused by the negative effect from the financial liberalization.
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