Research On The Spillover Effects Of The Chinese Stock Market And G7 Stock Markets

Against the background of the increasingly open world capital market and the accelerated process of trade liberalization,the linkages between China's stock markets and the world's stock markets are strengthened,and the study on the spillover effects between stock markets can provide an important direction for the healthy operation of the stock markets and risk prevention.G7 is a large and important economy in the world.Studying the spillover effects between the stock market of China and the stock market of G7 countries is of great significance for deepening the institutional reform and risk prevention of China's stock market.Therefore,this paper tested and measured the Granger causalities and spillover effects' intensity between Chinese stock market and G7 stock markets from the perspective of returns and volatilities respectively,and discussed the spillover effects between Chinese stock market and G7 stock markets.To study the spillover effects between China's stock market with the G7 countries',this paper selects stock index data of China's stock market and G7 stock market from May 8,2002 to May 8,2019.From the perspective of returns and volatilities,after unit root test,uses the linear Granger causality test and BDS test,found the nonlinear characteristics of the research variables,the linear Granger causality test is no longer suitable,so we mainly use the quantile Granger causality test to test the Granger causality between Chinese stock market and G7 stock markets,and use the spillover index model to calculate the total spillover index,directional index and net spillover index of them,and quantitatively analyze the spillover effects' intensity between Chinese stock market and G7 stock markets.The results show that: Firstly,through the quantile Granger causality test,it is observed that there is a significant causality between the returns and volatilities of the Chinese stock market and G7 stock markets in each quantile.Besides,both in terms of returns and volatilities,the causality of G7 stock markets on Chinese stock market are more significant.Secondly,according to the total spillover index,the volatilities spillover effects between China's stock market and the stock markets of G7 countries are generally greater than its returns spillover effects.And it is found from the directional spillover index that Chinese stock market is more receiver of spillover effects in terms of both returns and volatilities.The net spillover index shows that China's stock market for the G7 stock markets' spillover effects are mainly around 2006,while the U.S.stock market has the strongest spillover effect on the returns and volatilities of China's stock market,and is larger than the spillover effects from China's stock market.Thirdly,the spillover effects between Chinese stock market and G7 stock markets are mainly more significant during or after the economic crisis.It shows that the financial crisis factors have obviously strengthened the links among countries and enhanced the spillover effects among the stock markets of different countries.Therefore,China should constantly improve the relevant stock market system,strengthen international cooperation,enhance the sense of investment,and pay attention to and effectively use the research results of spillover effect between international stock markets,which has important theoretical and practical significance for deepening the reform and improving risk prevention measures of China's stock market.