Study On Contagion Effect Between Chinese Stock Market And Other International Stock Markets

In the context of capital market globalization, China and the major international stock markets are growing linkages in the investment information and the risk. This global financial turmoil triggered by the U.S. subprime crisis, the U.S. stock market slump caused by stock markets in other countries fall along a "domino" effect, has been the academic and practical industry's attention. The risk of contagion among international securities market has become one of the hot finance research.This paper investigates the mean overflow and volatility spillover effect in the equity markets of the Shanghai Composite Index, the Hang Seng Index, the Nikkei 225 Index and the Dow Jones Industrial Average Index using the asymmetric dynamic conditional correlation multivariate GARCH model (AG-DCC-MVGARCH). We also investigate the risk contagion modes and contagion mechanism among these stocks index, then we analyzed the correlation between characteristics of China's securities market and the risk contagion. With this financial crisis, the jump in correlation and volatilities between the Shanghai Index and Dow Jones Index, the Nikkei225 Index, the Hang Seng Index in line with the characteristics of the risk of contagion effect, supports risk contagion effect. The risk modes of transmission, the Shanghai stock market risks can be conducted directly to the Hong Kong stock market, and other international stock market risk of the existence of a weak conduction effects, but can be through Hong Kong stock market and other international stock markets risk of transmission. The financial crisis conduction process is a multi-player asymmetric information dynamic game process is participate by speculators, public, governments and international organizations, mainly decided by the spillover effect, the monsoon effect, pure contagion effect, and herd behavior. From the previous spike in the stock market, we found China's stock market has a clear policy traces. China's stock market boom triggered a global stock market plunge easy synchronization of change trend, with the risk of contagion effect.Therefore, in promoting the capital market liberalization process, the full account of emerging and transitional capital market characteristics, and the economy as a whole and other financial market liberalization compatible, coordinated, so that the capital market opening up the principle of proportionality, to prevent the butterfly effect. The risk of infection is rooted in the vulnerability of capital market system itself. In order to prevent the internalization of external shocks, it is necessary to perfect the financial system and make ourselves risk of infection immunity. Investors should pay attention to the risk of contagion effects of the impact of the portfolio and take the appropriate strategy to avoid the risk of infection.