| The rapid economic development over the last30years has made China as the center of the world since the reform and opening-up. With the further promotion of reform and opening-up, as well as the acceleration of economic globalization and financial integration, the relationship between China and the rest of the world has reached a brand-new level. As a result, how to measure and control the risk of China’s stock market has been highly concerned.This paperprovides an empirical study on risk contagion effect from Hong Kong, Korea, Japan, United States, and Europe to A-share market in three industries: financial, basic material, oil and gas. The empirical analysis has reached the following conclusions:(1) The ADCC model shows that the correlation coefficient between A-share market and regional market is much higher than it with U.S. and Europe. After the2008financial crisis, the A-share equity market and international equity market are integrated to a higher level.(2) GJR-GARCH model shows that for a long time, the dynamic volatility of A-share market is higher than the regional market and global market, and the volatility of international equity market rose sharply during2008, while it felled quickly without a significant increase after the financial crisis.(3) The risk Spillover model shows that although the abnormal fluctuations of regional market and global market both have a significant impact on A-share market, the latter’s influence is much lower than the former’s influence, which means the exogenous risk of A-share market comes mainly from regional market, and the U.S. and Europe influence China indirectly by influencing our regional market, such as Hong Kong.(4) On the one hand, the risk contagion effect exhibit different styles in different market, which means different criterion is required to assess the risk that investors are facing, on the other hand, regional economic split still exist in recent days, that means diversified investment strategy is still effective. |
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