Research Of Cross-market Financial Risks Contagion

In recent years, with China's financial markets' expansion and financial product innovation, the financial market involved in cross-market financial asset allocation more and more. In order to get their best gainsand and take their appropriate risk, they participation in the stock market, money market and bond market frequently, repeated the funds into the market in these configurations, these markets will be linked with the funds, but also contains the mutual transmission of risk possibilities. With the deepening of market maturity, in particular, the continuous expansion of various funds and investment concept matures, the possibility of such a transfer of risk is also increasing, so the financial risk on the present transmission mechanism between the domestic market research is necessary and urgent.But a measure of a country's internal delivery of cross-market risk is relatively small, Scholars will focus mainly on the international transfer of financial risk, For a country's internal risk transfer between the different markets is few, some of them limited to theoretical analysis, some of them used correlation with asset prices to measure market risk transfer mechanism, and more researchs is mainly to do with different description of the relevance of market, but its policy meaning is low. Nowadays, the connection of the market in China has been greatly enhanced, so the current study documents the breadth and depth are not enough, most of the methods are still limited to theoretical analysis, experience shown, and correlation analysis. So this paper argues that it is necessary to to do a detailed theoretical and empirical analysis about cross-market financial risk. We tried to sort out the literature about transnational and domestic transfer of financial risks, establish a theoretical model about cross-market financial risk, Then use our empirical data, in order to sort out a domestic cross-market transmission mechanism of financial risks, and given the appropriate guidance in practice. Specifically, the main contents of this study include the following: 1, The theory of cross-market risk transfer mechanisms and possible paths in China.2, Volatility spillover effects between China's stock market, money market, bond market, including the presence or absence of spillover effects and the overflow direction.3, The dynamic correlation coefficient between China's stock market, money market, bond market.4, The cross-market risk transfer mechanisms which is reflected by above phenomenon.5, The reasons for the formation of risk transfer mechanisms and corresponding policy implications.This paper will do research for this issue both on theoretical and empirical.In introduction we will give the research's background, purpose, meaning, innovation and the specific methods and steps.The first chapter we will introduces the basic concepts, and gives the basic principles of the model and set forms.The second chapter is to sort out our main literature on risk transfer these years, It is divided into three parts:First is domestic and international risk transfer outside the literature on transnational; the second is made by domestic scholars about the different connections between financial markets and the risk of transmission in a country's internal; the third is to establish the measure of volatility spillover and the dynamic fluctuations of the correlation.The third chapter, we will transfer the financial risk of transnational theory be extended to cross-market financial risk, established the theory of cross-market risk transfer mechanisms, with the actual delivery of cross-market risks that may exist in our path.In the fourth chapter we will give some basic characteristics of the data, test the statistical characteristics of the market data, including stationarity tests, ARCH effects and so on. Provide for the establishment of Multivariate GARCH model. And then, we will build two models, BEKK-MVGARCH model to measure the volatility spillover effects between China's stock market, money market, bond market recent years; DCC-MVGARCH model used to describe the dynamic correlation between China's stock market, money market, bond market. In ChapterⅤwe will summarize and analyze the conclusion, with the conclusion given in the corresponding policy recommendations.