Cross Market Transmission And Prevention Of Systemic Risk In Stock Market

With the continuous promotion of financial globalization,financial risks are constantly transmitted among markets.Financial risks are not limited to a single market,but cross market,cross regional resonance and transmission.Through the implementation of the "Shanghai Hong Kong stock connect" and "Shenzhen Hong Kong stock connect" trading mechanism,China has realized the interconnection between the mainland and Hong Kong's capital market,accelerated the reform and opening up of the capital markets of the mainland and Hong Kong,but also provided the possibility for cross market transmission of financial risks.Under the background of interconnection,exploring the risk transmission path,Risk Spillover effect,risk resonance mechanism between the mainland and Hong Kong stock market can effectively identify the volatility characteristics,risk sources and change trends of the two stock markets,which is conducive to exploring effective regulatory measures and risk prevention and control means.Through the establishment of VAR and BEKK-GARCH model,this paper makes an empirical analysis on the mechanism and effect of systemic risk transmission across the market in the stock market.Different from the traditional systemic risk research,this paper takes the stock market of the mainland and Hong Kong as the observation objects,and analyzes the impact of the implementation of the "land to port" trading mechanism on the stock market of the two places from the five aspects of macroeconomic policy,exchange rate fluctuation,capital flow,trading behavior and trading system,and sums up the path of risk transmission between the stock markets of the two places under the "land to port" mechanism Direction of influence.In the model variables,Shanghai Composite Index,Shenzhen Composite Index and hang seng index are selected to represent the operation trend of Shanghai stock market,Shenzhen stock market and Hong Kong stock market respectively.The operation of the stock market is divided into three time periods based on the implementation date of "Shanghai Hong Kong stock connect" and "Shenzhen Hong Kong stock connect".By calculating the weekly logarithm yield of the three major stock indexes of the mainland and Hong Kong,with the aid of VAR model,this paper studies and analyzes the mean spillover effect of the mainland and Hong Kong stock market before and after the opening of lukangtong.Through bekk-garch model calculation,this paper studies and analyzes the volatility spillover effect of the mainland and Hong Kong stock market before and after the opening of lukangtong,after Granger causality test and impulse response analysis It is not difficult to find that after the opening of the land and Hong Kong link,the stock market between the mainland and Hong Kong is highly correlated,and the mean spillover effect and volatility spillover effect are significantly enhanced.Moreover,it shows that the risk transfer effect of Hong Kong to the mainland market is greater than that of the mainland to the Hong Kong market.In response to the impact of "market information",the Hong Kong stock market responds to information The absorption and digestion capacity is stronger than that of the mainland market.Based on the empirical results,in view of the characteristics of risk transmission channels and Risk Spillover Effects under the mechanism of land port connection,it is necessary to establish and improve risk monitoring and early warning,information disclosure and sharing mechanism,effectively improve the flexibility of RMB exchange rate,reasonably use "monetary policy + capital control" policy tools,optimize the structure of investors and be good at guiding investor sentiment,and continuously promote the healthy development of capital market.