An Empirical Research On Volatility Spillover Effect Between Chinese And Indian Stock Market

With the global economy, the stock market as the core of the financial market is also growing. As a financial market is the most important financing channels, the role of the stock market goes without saying that the stock market listed companies in China is mainly responsible for the direct financing function, but also for the general ordinary investors can effectively obtain the benefits of economic development, sharing of economic the fruits of development, the stock market has also become the benchmark of a country's economic development. In addition, the continuous development of global economic integration are also greatly improved the allocation of capital in different countries also effective optimization of the stock market efficiency, the development of the global economy has played a significant role in promoting. With the economic integration of the development of links between national stock markets are getting closer. The territory of neighboring China and India, and both are populous countries, the same as a developing country, China's economic growth also showed the trend of rapid development. As China's economy is accelerating the pace of reform and opening up, in trade and investment areas of control gradually reduced, our economy and the world economy increasingly close. Economic integration in the international environment, China's economy not only by the impact of the domestic market, but also by changes in the international market, the impact of international capital flows, especially by higher levels of economic cooperation with China's national impact. India and China close to the same developing countries, economic development, are highly complementary, have become important economic partners. In recent years, bilateral trade increased steadily with the total investment, China has become India's second largest trading partner, while India ranked as China's top ten trading partners.Paper first introduces the benefits of Sino-Indian stock market volatility correlation between the economic background and summary of previous research through the obtained angle of this research. Second, Sino-Indian stock market through the theoretical relevance of the analysis of the Sino-Indian stock market volatility relevance theory, and based on existing econometric models volatility in Indian stock market correlation. Mumbai, India, through the use of the SSE 30 Index and the stock market index in India and China as the representative of the stock market, empirical comparative study between Chinese and'Indian stock markets in China after the implementation of QFII to the sub-prime crisis occurred before and after the subprime mortgage crisis proceeds in two stages and the correlation between volatility spillover. Finally, Granger causality test and the Wald test to analyze the benefits and risks of overflow overflow. The empirical results show that between China and India in the Chinese stock market gains following the implementation of QFII to the sub-prime crisis occurred before and after the subprime mortgage crisis and the volatility spillover benefits in two stages are very different relationship, the implementation of QFII in China after the subprime mortgage crisis India stock market before the occurrence of correlation between the income was not significant, revenue lag relationship between the leader did not exist. The sub-prime crisis occurred after the stock market and India there is an interaction between the leading revenue lag relationship. Note the sub-prime crisis broke out, the stock price makes the link between the two countries ever closer. Spillover effect on the risk analysis we can get, the implementation of QFII in China after the subprime mortgage crisis, the Chinese and Indian stock markets do not exist between the risk of fluctuations in two-way spillover effect. Changes in the Indian stock markets will not produce a one-way Chinese stock market returns on volatility, resulting from changes in the Chinese stock market gains resulting from changes to the way the Indian stock market volatility spillover benefits. Note the sub-prime crisis makes India the volatility of the stock market correlation between the increase. Finally on how the subprime crisis in the Chinese stock market to strengthen supervision and improve the efficiency of the stock market make policy recommendations.