Risk Contagion Analysis Of The Financial Markets Of China-USA-UK-Japan During The European Debt Crisis

In recent years the outbreak of the financial crisis has been more and morefrequent. The global spread after the outbreak of crisis further proved the complexityand contagion of the financial crisis, which makes the test of existence and degree ofcontagion of financial crisis more and more important, especially for the investorsand financial risk managers. The correct analysis of the financial crisis contagion cangreatly reduce the risk of the investment and capital operation in the global operation.The positive analysis of the contagion of financial risks between different marketsplays an important role in the countermeasures in financial opening of the investorsand coping with the financial crisis.This paper used the period from the outbreak of the European debt crisis to thepresent as the sample period. China’s Stock Index Returns, the United States DowJones Index returns, Britain’s Financial Times Index Returns and Japan’s Nikkei225Index returns are under positive analysis. Firstly the existence of financial riskcontagion is tested by the Nonparametric Quantile Model, then the degree of riskcontagion between the financial markets are tested by the multivariate SVAR-BEKKmodels. Finally the tail correlation coefficients based on Copula is used to measurethe degree of risk contagion between the financial markets under the extremecircumstances. The three models draw the same conclusions, which testifies theexistence of risk contagion between the four financial markets and obtain the degreeof the risk contagion between the two-two financial markets and provides thereference for the transnational capital investment and risk management of investorsfrom the world.