Spillover Effects Research Of The Domestic And Foreign Stock Markets Under The Framework Of Spillover Index

With the development of global economic integration,financial integration、financial liberalization trend is more and more apparent, the connection between various capital markets become more and more closed. Thus it can bee see, The volatility of one market is not only aff--ected by their previous periods, but also influenced by other markets, that is to say, there exists spillover effect, including mean and volatility spillover effect. Of course, when consider the influence of the spillover effect to the income of a market, we also need to consider policy factors and the emergency and so on. It requests us to do some segmentation research about spillover effect among markets in according to different incident points then do comprehensive comparison and analysis to have comprehensive influence factors of the influence of the change. Based on this point, many scholars studied the change of relationship between the different financial market under the backgrounds such as financial crisis, B shares market opening, the reform of non-tradable shares and launch of stock index futures. But previous scholars are focusing on a single event effect on the spillover effect, which may lead to the final wrong judgment. The author thinks we should consider all the important events within the study time to determine the cause of the change.In this paper, we collected trading information of the stock market closing price from2005to2013, analyze the relationship and changes of volatility spillover effects of China’s stock market and otherinternational main stock marketunder the background of financial crisis in2008and launched stock index futures in2010. Then,based on the spillover index, measure the spillover effect strengthbetween the stock markets, orient the role of financial markets.According to the research literature about spillover effects, the method of building spillover index that domestic scholars used is lack of robustness; the foreign scholars mainly focus on the international market except china markets. In view of how strong the spillover effect between Chinese stock market and international stock markets? And in this kind of overflow relationships China’s stock market is more inclined to the giver or the receiver? howthe volatility spillover relationship between china and U.S to change in recent years? For unfavorable fluctuation influence, such as the sub-prime crisis in2008whether can we detect and dodged a bullet as soon as possible? This questions about the development of Chinese stock market even the overall economic is still no references.On the existing domestic literature, this article will consider the two important events:the sub-prime mortgage crisis and stock index futures introduced within the selected timelcreatively.Using VAR model to do analyze and verify the mean spillover effect relationship between stock markets, and using MGARCH (1,1)-BEKK model to inspect volatility spillovereffect. From the Chinese stock market and international market (USA, UK, Hong Kong) spillover effect changes to speculate the cause of the changes. Then, based on the overflow index, intuitively compare the overall spillover and net pairwise volatility spillover strength in different phase state between Chinese and other stock markets, thus, for the back of the researchers on the study of the different stock market volatility spillover strength provides the comparisonbasis, also let investors can predict the stock market development trend according to both sides of the stock market volatility relation, make reasonable decisions. Finally, using the dynamic rolling window technology to get the index time sequence diagram to analyze the relation changes of the stock markets. The results show that the financial crisis impact on China’s stock market has not increased significantly, while the introduction of stock index futures to make the control market risk to be possible. The study of net bidirectional volatility spillover strength shows that the Hong Kong stock market and China’stock market volatility spillover effect is the strongest, And the United States and China stock market volatility spillover effect is stronger step by step, Investors can predict the development trend of the stock market according to the stock market changes.