Spillover Effects And Timely Change Risk Of The Securities Market

With the deepening development of global economic integration, and the our country’s financial system and financial system is perfecting,China’s ties with the international securities market increasingly closely.In this background,China’s financial market risk will not only affected by its own factors,will also be affected by the international securities market,which means the spillover effect.In the perspective of for a long period of time,the research of financial risk contagion mechanism will help regulators and investors to figure out the international macro financial market system. Due to the obscure difficulty of the nonlinear transmission mechanism research of spillover effects,the existing literature about spillover effects research mainly related to the linear way, and regret to ignore the nonlinear spillover effect.This will cause the final conclusion significant errors of judgment.I strongly recommend that the both should be taken into consideration.In addition, when consider the spillover effect of conduction mechanism,we also need to consider the policy factors and development of the financial markets impacted the transmission mechanism of spillover effect.Therefore, it is necessary according to the structural change point of China’s securities market segmentation research.The spillover effects part in this paper applied the principle of the correlation integral spatial correlation probability estimates across time and combined with breakpoint algorithm to establish market structural change point, use on January3,1996to June30,2010, the world’s major stock markets daily data,for China and the international securities market returns and volatility spillover effect between the linear and nonlinear transmission mechanism has carried on the empirical research in stages.The results show that nonlinear spillover effect between China and the international securities market in each stage are significantly better than linear spillover effect;The degree of spillover effect varies with the development of China’s securities market in gradually improved.The existing literature at home and abroad about short cycle Angle of view of financial risk measurement method research is very rare, traditional financial risk measures mainly in the perspective of long period using a long historical data, Angle of view for a long period of time while can carry on the macroscopic analysis to the financial risk,These methods, however, there are two major defects.First,the risk measurement lag flawed. Second, these measures only considering the price movement of securities,which igoring the factor of the volume. Thus, under normal circumstances, although these risk measurement methods and relevant models can help investors effectively guard against and dispersive risk,but in the practical use of department for similar in2007by the U.S. subprime mortgage crisis triggered the financial crisis caused by sudden events cannot effectively guard against.Given this,the paper referenced by the ideas of physics based on the existing literature, building energy type indicators of risk-time-varying risk innovatively.Trying to achieve the goal which can not only reflect the risk normally by securities potential risk, and in a timely manner to reflect the risk of incident by the kinetic energy of the securities risk, Thus it can achieve the target that effectively guard against the risk of various circumstances. In empirical aspect, by gree electric appliances on January1,2006to December31,2013data for example,On the securities kinetic energy and potential energy, and the securities time-varying risk focused on qualitative analysis.The results showed that in the time-varying risk of securities,which have a good effect on measurement of financial risk,its kinetic energy to significantly effective measure short-term market risk,the potential energy of securities in the long-term risk measure and measure short-term has a good effect.Securities time-varying risk is a function of time, it is an amount of change over time, rather than a constant, which is conform to the perceptual knowledge in the practice of risk. Therefore, with the aid of time-varying risk research, can provide researchers in the future of the financial risk with more efficient risk measurement model and thinking. In addition, this article also used the idea of quantile regression, the securities time-varying risk quantitative empirical research, the empirical results show that in high site, securities kinetic energy and potential energy of the securities risk have a very good explanation effect.