Research Of China And American Finanical Market Volatility Spillover Effect Under Financial Crisis

Since the 20th century, globalization and financial liberalization have become the theme of world's economic development. Especially in rapid economic development process during the last forty years, Along with the unceasing development and perfection of the economic globalization and financial liberalization, financial capital can now rapidly flow over the globe, with the addention of the rapid development of financial innovation and information technology and rapid dissemination development of information. Making the information spread over the world in relatively short time, improving the efficiency of financial markets, leading the world financial markets to contact closely, The interactions among markets become stronger and stronger, so the agglomeration, asymmetry and nonlinear sexual relationship between financial time series cannot be solved effectively, by traditional statistical methods.This paper brings the concept of Copula function into financial analysts, and improving GARCH class method with the original Copula function, so as to adapt to the new problems in the new situation better.This paper introduces the concept, nature of Copula function and different Copula function clan. And the different methods of Copula function parameter estimation are introduced and compared in this paper. We use Shanghai, Hong Kong and New York stock market In this paper, we analyze the data from Shanghai, American, Honking stock in between 2006 June 1st and 2010 December 31 (the Shanghai composite index, the s&p 500 index and the hang seng index) data, the paper also compares the correlation among different stock markets of various countries and regions before, during and after the subprime crisis occurred .The empirical results show that the correlation between shanghai, Hong Kong and the United States in the earlier stage of economic crisis happened is not strong, but during the economic crisis stage suddenly shows a strong positive correlation, as the financial crisis, they leave gradually , the strength of the correlations between them is gradually reduced.The main innovation points in this paper are as follows:(1) The first time to switch subprime crisis into three periods: the preceding, middle and rear period, and to analysis and research on the strength of the different intermittent correlation with Copula function.(2) At first, using Copula -GARCH (1, 1) - t model to analyze and study the relationship between the Shanghai Composite index, the Hang Sang index and the US S&P 500 index.