Study On The Benefit Of Jump Spillover In Shanghai,Hong Kong And Japan Stock Market Based On SVCJ Model

The jump spillovers between different financial markets have always been one of the research hotspots of financiers.With the intensification of financial liberalization and globalization,jump spillovers not only occur in different mar kets of the same country,but also in different markets of different countries.Shanghai and Hong Kong stock markets are important components of China's financial market,and Tokyo,Japan,is the largest international financial city adj acent to China.Studying these three aspects can optimize our regulatory strateg y and enhance investors' risk management and portfolio capability.In this paper,Gibbs sampling of Monte Carlo Markov method is used to introduce the representative index return series of Shanghai,Hong Kong and Ja pan stock markets into the jump-dependent stochastic volatility model,and to estimate the relevant parameters of the return and volatility of the three stock markets.It is found that Hong Kong Hang Seng Index(HSI)has the greatest possibility of jumping and the greatest expected return;Shanghai Composite In dex(SSECI)has the only expected return.The Nikkei index(N225)performs best and remains stable on the premise of guaranteeing earnings.The main chapters of this paper include the introduction of main theoretic al models,model estimation and jump spillover measure.In the introduction part of the main theoretical models,firstly,it summariz es the main research in related fields,and finds that ARCH and its derivative models have some limitations,and the predecessors focus more on the spot ma rket of the same product.Secondly,the SVCJ model,MCMC method and the three indicators of quantitative measurement of jump spillovers are given.In the part of model estimation,this paper uses the representative indices of Shanghai,Hong Kong and Japan stock markets,namely Shanghai Composite Index(SSECI),Hang Seng Index(HSI),Nikkei Index(N225).Using the closi ng price of the three stock market indices from 2010 to 2018 to construct the return series and observe the fluctuation range,then using Gibbs sampling met hod to estimate,and draw the conclusion that the Shanghai stock market has the least fluctuation and the expected return is negative;Hong Kong stock mar ket has a great unconditional jump,and the whole market has a relatively stab le fluctuation frequency and range;Japan stock market is relatively stable.The expected return can also be guaranteed.In the part of jump spillover measurement,the data of jump spillover tim es estimated by SVCJ model are used to calculate the values of CJSP,FDJS and JSI on the same day,the next day and the third day respectively.It is fo und that:(1)the interaction between Hong Kong and Shanghai stock markets is the weakest in all impacts,the interaction between Hong Kong and Japan is the strongest,and the fluctuation of Shanghai to Japan is the same.Insensitive.(2)Due to financial liberalization and information globalization,volatility spill overs usually arrive on the same day,and the probability and intensity of cond itional jump spillovers decrease with the increase of time interval.