A Study On The Transmission Effect Of Systemic Risk Between Chinese And American Stock Markets

Currently,the stock market is the biggest investment market in the country.Given the importance of the dollar in the International Monetary System,how much the Fed`s interest rate increase has affected China`s stock markets is a matter of concern.Experience from the three interest rate increase cycles,whether the systematic risk pass-through effect between American stock market and Chinese stock market is increasing with the economic interaction.If the intensity of the influence increases,what leads the phenomenon?If the intensity of the effect decreases,what are the reasons for this situation? Facing the problem,what should the supervision of our country`s stock market system improve and supplement? Under the background of several fed interest rate increases,this paper aims to study the mechanism of systemic risk transfer between American and Chinese stock market.At first,on the basis of experience of the predecessors,this paper reviews the relevant literature of financial risk`s transfer from five aspects and proposes the main idea of innovation.That is to say,from the point of several fed interest rate increases,the method of Bootstrap and the unified financial index would be taken to measure the transmission effect of systemic risk in the Chinese and American stock markets.Secondly,this paper analyzes the interrelated theories of the influence of raising rate.Next,this article is empirical analysis to the question.Finally,the conclusion is drawn and the prospect is made.The results show a lot.Firstly,when the international or national policies change,the stock market of both countries fluctuates more than other times,and there will be systematic risk transmission during the period without increasing rate.Secondly,during the period of increasing rate,the stock market of both countries is volatile in the early and middle time and there exist a certain systematic risk transmission.The initial is only nonreversing risk transmission.With the opening of economy and trade,it gradually becomes a two-way risk transmission,and the frequency of transmission become more.In the later time,the risk transfer`s effect in both countries is weakened.This means that along with the economic and trade relations closer and closer,our country should pay more attention to the response to the interest rate hike,especially in the early and middle period of the time.Not only this,but also our government shouldaccelerate the formulation of policy and strengthen the implementation.