Research Of Industry Stock Index Volatility Spillovers

By the influence of industry’s own stage of development and the economic cycle, the stocks’performance of different sectors in the stock market are different.With the rapid development of market economy,the mutual exchanges between the various industry sectors of the economy in the various regions has become increasingly active.This makes the movements in asset prices of an industry can be very easy to quickly spread to another industry.The so-called "volatility spillover" refers to the degree of financial market volatility besides will be affected by the impact of itself fluctuations,it may also be subject to constraints of other financial market volatility shocks.From the point of view of securities market participants, market participants can take full advantage of the volatility spillover between financial markets to judge the degree of change of the rate of return in the financial markets,so that market participants can better participate securities market and more efficient use resources to carry out more effective risk prevention and quality of investment management.Of course,this can also reduce the degree of risk in financial markets.The main contents of this paper is to explore the volatility spillover of China’s stock index,we selected for CSI300stock index futures in the IT industry、agriculture、 forestry、animal husbandry and fisheries、finance and insurance、construction、real estate and extractive industries six industries index closing price and the new listing of bonds futures contracts as the object of study.This article is elaborated in four parts:First, it succinctly describes the background and significance of the study in this article and so far, the relevant domestic and foreign research and literature review of stock index volatility spillover effects, this is the main contents of introductory section.Second, it introduces the theoretical basis of the study, as well as the research models and methods description on volatility of financial markets, which is the theoretical explanation part.Sample again,it is also a core part of this article.It first selects CSI300stock index as the sample for a certain amount of study visits, and then selects the government bonds of5-year simulation data on the fluctuations in the stock market industry spillovers to do some analysis, which purpose is to further validate whether its result is consistent with the CSI300data of the empirical analysis concluded. Finally, the conclusion of this article mainly written the obtained results through the study, as well as inspiration and outlook. In addition, it analyzes the research issues and put forward some ideas and proposals.