Analysis Of Risk Spillovers Between Chinese Stock Markets And Within Industries

The Chinese stock market plays a very important role in China’s economic development.From a macro perspective,it is a barometer of China’s economy;From a meso perspective,it can promote the optimization of resource allocation,regional economic development,industrial integration and upgrading,etc;From a micro perspective,its healthy operation is beneficial for listed companies to improve their operational mechanisms and raise development funds through multiple channels.For individual investors,it is beneficial for them to facilitate and flexibly invest,reducing restrictions on investment time,geography,and methods.The modern operation of the stock market has increased opportunities for investment matching between listed companies and individual investors.In short,the stock market has functions such as a barometer,resource optimization allocation,and value discovery.With the increasing degree of global economic and financial integration,the economic connections between countries and different markets in the same country are becoming increasingly close.The linkage behavior of financial markets,especially stock markets,influenced by economic operations,emergencies,and other factors is becoming increasingly dense.Risk spillovers in the stock market are characterized by rapid and highly destructive spread,and the impact of risk contagion based on inter market linkage is becoming increasingly severe.The Chinese stock market is characterized by severe fluctuations due to factors such as domestic and international economic environment,epidemic prevention and control,etc.Under the background that China has gradually formed a new development pattern with domestic systemic circulation as the main body and domestic and international double circulation promoting each other,it is of great significance to conduct in-depth research on the linkage and risk spillover effects between China’s stock markets.This study utilizes interdisciplinary theories such as evolutionary system analysis,stochastic model analysis,time series analysis,Granger causality,complex networks,fractal theory,nonlinear dynamical systems,etc.,and uses qualitative and quantitative,computational experiments,and comprehensive research methods to model and analyze stock market linkage,risk spillover,memory,periodicity,etc.,revealing anomalies and laws of the stock market,Study the control factors of risk development in the Chinese stock market.From a mesoscopic perspective,analyze the degree of stock market risk and risk spillover level under the time-varying background before and after the 2015 stock disaster,which has been the most volatile in the Chinese stock market so far;Analyze the impact of COVID-19,which has just ended but still affects the global economy and life,on China’s stock market,and further subdivide the risk levels of stocks in different industries at different stages of the development of COVID-19 and the risk spillover paths between industries;Conduct a detailed study on the periodicity and memory of the Chinese stock market since the implementation of a price increase or decrease of no more than 10%of the previous day’s closing price,and explore how to utilize the memory periodicity of the stock market to reduce investment risks and improve investment efficiency.The results indicate that the Chinese stock market exhibits long-term memory in the vast majority of cases,and the Chi Next Index exhibits high memory under different price limits.Using the memory investment strategy of this study,the returns on purchasing the Shenzhen Composite Index are generally higher than those on purchasing the Shanghai Composite Index.This study consists of 7 chapters.The first and second chapters are the introduction and theoretical basis of the research,while the third to sixth chapters cover the specific research process of linkage and risk spillover effects in the Chinese stock market.Chapter 7 provides a summary and outlook.Chapter 3 studies the time-varying risk spillover linkage effects among different stock markets and industries in China,including analyzing the direction of risk spillover and tail risk contagion effects.The research in this chapter uses the time-varying parameter TVP-VAR to characterize the linkage between stock markets and their risk spillovers;Using VaR and CVaR methods to measure the overall risk of the Chinese stock market;A dynamic model framework is used to characterize the time-varying spillover effects.The fourth chapter is based on the research on the overall risk measurement of different stock markets in China and the linkage effect of risk spillovers based on time variation in the third chapter.It continues to further analyze the linkage effect and risk spillover path of industry segmentation based on time variation,and studies the effect of risk spillovers of industry segmentation and tail risk contagion in China’s stock market at different stages of the COVID-19 epidemic.Chapter 5 strengthens the relationship between individuals with linkage,and studies the linkage and risk spillover effects between different stock markets and industries in China from a network perspective.Taking the stock network of the automotive manufacturing industry as an example,this study investigates the comprehensive evaluation of stocks using network indicators.The sixth chapter discusses the whole process law of China’s stock market and the memory of the stock market.It explores the combinatorial optimization problem based on the constraint of CVaR conditions.The innovation of this research lies in: first,the research perspective is innovative,strengthening the research on the heterogeneity of the stock market,refining the linkage of the domestic stock market,and focusing on the research from the perspective of the development of the domestic systemic circulation economy;The second is the innovation of research methods,proposing the Chinese stock negative correlation network,also known as the reverse linkage network model,with a focus on studying the reverse linkage relationship in the Chinese stock market.The threshold method is used to obtain a complex network model of the Chinese stock market based on returns and volatility;The third is to use the R/S analysis method to refine and classify the fluctuations,and propose a memory investment strategy model for the Chinese stock market based on the R/S analysis method,exploring the laws of reducing investment risks in the stock market.Fourthly,practical innovation should be carried out in application,comparing and analyzing the stock risks in different industries at different stages of the epidemic,and tracking the risk spillover paths in the stock market;Analyze control strategies from the perspective of risk spillover and risk dispersion in the stock market linkage.