The Research Of The Spillover Effects Between China And U.S. Stock Market Based On Mixture Copula-CVaR

With the global economic integration, the development of the globalization ofinformation, the world economy continue to strengthen the linkage between countries,the linkage has become more prominent, the volatility of a country’s economy spreadsrapidly to other countries, which eventually will cause a worldwide economic crisis.Under this background, the research of the spillover effects of risk has been the focusrecently, which could reflects the conduction mechanism and the size of economicfluctuations between different countries, how to control the spillover effectively hasbecome the common issue around the world. After thirty years of the development ofreform and opening up, China’s GDP has ranked second in the world, the total valuein the capital market is only behind the United States now, the world cannot ignore thepower of the PRC. With the deepening of the extent of China’s economic integrationto the world, the world’s economy is also enlarging the influence on China’s economy,especially in the capital market, therefore, the research on the spillover effects of riskfrom foreign capital market to China’s capital market is important to the theory andreality.After China’s accession to the WTO, China’s economy and the world economyare closely linked together. Thus, the research on the spillover effects of China’scapital market with foreign capital markets continues to increase, which has drew a lotof important theoretical results, but there are also some shortcomings: First, manystudies are based on the linear dimensions, but the reality of the spillover effects ofrisk in capital markets are non-linear case; Second, most studies are based on thedistribution assumptions of random perturbations, but the real distribution is difficultto match; Finally, a lot of research on spillover effects of risk focus on the test of theexistence of the risk spillover, but few on the intensity. Therefore, this article will beon the basis of combining the Copula theory and CVaR method, to evaluate the effectin nonparametric theory, which will be compared to the results in parametric theory.This paper introduces the background and significance of the topics at first, givesa briefly introduction to the research status of the spillover effects risk; Secondly, thepaper will provide the introduction of Copula theory, CVaR method andnon-parametric Methods; Again, to establish the model of the mixture Copula-CVaR under theestimation in the parametric method and the nonparametric method; Finally, theempirical analysis will be conducted between the S&P500Index and the ShanghaiComposite Index, the paper will combine with the results of the analysis to givepolicy advices. There are some results in this paper: Firstly, the effects of the riskspillover that estimated by the parametric method are lower than the results estimatedby the nonparametric method, the parametric conclusions are limited due to theassumption of the distribution of the disturbance in the model; Secondly, as a maturecapital market, the U.S. market can get well in a short time after the shock of financialcrisis, but China’s market has large proportion of speculation that lead to theweakness to face the impact of financial crisis; Thirdly, when the crisis happened, therisk spillover from U.S. market will blow up significantly, it will be3times betweenthe after and before the financial crisis.