International Stock Markets Contagion Based On Heterogeneity Volatility Characteristics

The Asia Pacific financial storm,the American subprime crisis,the European debt crisis,the global economic recession and other events all have caused a great impact on the global financial system since 1990 s.Therefore,global investor lack of confidence in the investment in the financial market.Besides,global economic depression has greatly reduced consumption and the impact of financial crisis is far more than expected.Thus,volatility of the global stock market is gradually increasing and the volatility shows complex data characteristics with the impact of multiple crisis events.The contagion effect between global stock market is also gradually deepened with the abnormal fluctuation of volatility.Therefore,it is an important issue for the risk management of financial market to identify the characteristics of the volatility in the global stock market and then make a precise analysis of the way and mode of risk contagion under heterogeneity characteristics.In this paper,we using the generalized autoregressive conditional heteroscedasticity theory and the quantile vector autoregressive theory to construct the econometric model and provide theoretical and technical support for the risk contagion of global stock market heterogeneity fluctuations.Influenced by the continuous impact of external events,the international stock returns possess numerous long memory features.That is,the international stock market presents continuous fluctuation characteristics.Therefore,we firstly construct a dual long memory GARCH model to characterize the persistent volatility among international stock markets and analyze the risk contagion effect of the sustained volatility of the international stock market by nonlinear Granger causality test with long memory feature.Because the volatility of the international stock market is also characterized by long memory feature,this paper further analyzes the effect of the nonlinear Granger causality test with dual long memory on the risk contagion under the persistent volatility of the international stock market.The results show that the long memory of the international stock returns has a certain influence on the risk contagion effect under the constant volatility of the international stock market,while the long memory in the volatility of the international stock index has a slight influence on the risk contagion effect of the sustained volatility of the international stock market.Secondly,due to the continuous impact of uncertainty events,the leptokurtosis and fat-tail characteristics of the international stock returns show that the abnormal values of volatility tend to appear in clusters.That is,the international stock market has abnormal volatility characteristics.In this paper,time-frequency method and Fine-to-coarse reconstruction algorithm are used to effectively distinguish the high frequency components,low frequency components and long-term trends in the international stock market.By using the generalized autoregressive conditional heteroscedasticity leveraged fluctuation model,the risk contagion effect under the abnormal characteristics of international stock market is analyzed.The results show that the irregular events can enhance the risk contagion between the Asia Pacific stock market and the European and American stock market.The impact caused by the irregular events can have a short positive impact on the returns of the Asia Pacific stock market and the European and American stock market.Extreme events can exacerbate the risk contagion between the Asian Pacific stock market and the US stock market.Extreme events can also exacerbate the risk contagion of European stock markets to the Asia Pacific stock market.The shocks caused by extreme events can have a positive impact on the Asian Pacific stock market and the European and American stock markets.Besides,leverage effects on international stock market risk under irregular events are relatively weak.Similarly,leverage effect has little effect on the risk contagion between Asian Pacific stock market and US stock market under extreme events.However,under extreme events,leverage affects the risk contagion of European stock market significantly.Due to the sustained impact of international emergencies,the international stock market frequently converts in different trends between the bear market and the bull market,and the international stock market is characterized by asymmetrical volatility.In this paper,we study the contagion effect of asymmetric volatility of international stock market based on Markov transformation model and asymmetric volatility model.The results show that the risk generated by the Asian Pacific stock market and the European and American stock markets in bull market and bear market can be transmitted each other.In addition,under the bull market and bear market,the volatility between Asia Pacific and European stock markets has a positive impact on the correlation between Asia Pacific and the US stock market in the short term.The volatility between the Asia Pacific and the US stock market has a positive impact on the correlation between Asia Pacific and European stock markets and the correlation between European and American stock markets in the long run.Similarly,the correlation volatility between European and American stock markets has a positive impact on the Asia Pacific and US stock markets in the long run.On the contrary,the correlation volatility between European and American stock markets has a negative impact on Asia Pacific and European stock markets in the long run.However,under the bull market,the volatility between the Asia Pacific and European stock markets has a greater negative impact on the correlation between the Asia Pacific and the US stock market in the long run.Under the bear market condition,the impact of Asian Pacific and European stock market has weakly impact on European and American stock markets in the long run.The heterogeneous volatility of international stock market presents a complex risk transmission time variant.Finally,this paper uses the quanqtile vector autoregressive variance decomposition model to analyze the risk contagion under the characteristics of the time-varying volatility of the international stock market.The results show that under the bear market and bull market,the risk infection input of Asia Pacific and European stock markets is significantly higher than that of the US stock market.In addition,the risk infection output of the US stock market is the highest,while the European market risk contagion output is the second,while the Asia Pacific stock market risk infection output is the lowest.