Research On The Spillover Effect Between My Country's Foreign Exchange Market And Stock Market

In recent years,with the steady progress of supply-side structural reform,China's economy has gradually entered the stage of adjustment and transformation.After the exchange rate system reform,China's exchange rate market trend gradually increased,at the same time,with the continuous opening of Shanghai-Hong Kong and Shenzhen-Hong Kong Tong,China's stock market is also constantly in line with the international capital market.Under such a background,the phenomenon of linkage between financial markets is becoming more and more frequent.The main medium of linkage between financial markets is the collaborative movement of complex information between markets,which has two forms of expression,one is the mean spillover effect between financial markets and the other is the volatility spillover effect between financial markets.Therefore,it is of great significance to study the spillover effect of foreign exchange market and stock market to prevent financial risks in China.Taking the foreign exchange market and stock market in mainland China and Hong Kong as the research object,this paper constructs the VARMVGARCH-BEKK model,and on the basis of the overall grasp of the characteristics of the yield time series of the foreign exchange market and the stock market in two regions,depicts the correlation relationship between the data fluctuation between China's financial markets,Verify that there are mean spillover effects and volatility spillover effects between the four markets,and determine the direction of the spillover effect.The results show that(1)From the perspective of the mean spillover effect,bidirectional spillover effect exists between Hong Kong stock market and Hong Kong foreign exchange market;unidirectional mean spillover effect exists from Hong Kong foreign exchange market to mainland foreign exchange market and mainland stock market;unidirectional mean spillover effect exists from Hong Kong stock market to Hong Kong stock market and mainland foreign exchange market;The Hong Kong stock market also has a unidirectional mean spillover effect on the mainland foreign exchange market.(2)From the perspective of the volatility spillover effect,there is a bidirectional fluctuation spillover effect between the mainland stock market and the Hong Kong stock market,the mainland currency market and Hong Kong currency markets,as well as the mainland stock and Hong Kong currency markets,and there is also a unidirectional fluctuation spillover effect of the mainland market currency on the mainland stock.Finally,according to the empirical conclusion,the paper puts forward some specific policy suggestions from the point of view of the investment participants in the relevant financial markets,as well as the relevant policies and regulations and the makers of risk prevention measures.