An Empirical Study Of Cross-market Spillover Effects In My Country

As the process of economic integration and financial liberalization accelerates,capital flows between markets and market operations become increasingly close,and the degree of integration between markets is gradually deepening.The spillover effect between markets has gradually received widespread attention and has become a hot topic in academic research.The study of spillover effects between financial market submarkets represented by the stock market occupies most of the literature on cross-market spillover effects,and scholars are now expanding their research into the physical market.In particular,commodities such as crude oil and non-ferrous metals occupy an increasingly important position in the market and gradually form part of the asset allocation of large-scale investors across markets.In the context of the trend of commodity financialization,commodities not only have commodity attributes,but also show increasingly strong financial attributes,namely binary attributes,to study the spillover effects between commodity markets and financial market sub-markets such as stock markets and foreign exchange markets.Its time-varying has great practical significance.This paper will take China’s stock market,bond market,foreign exchange market and commodity market as the research object,and choose the generalized spillover index method to study the income spillover and volatility spillover effects from the static and dynamic levels,and compare them.This paper selects the weekly data of the Shanghai Composite Index,the China Securities Composite Index,the RMB Index and the wind commodity index from June 25,2010 to March 1,2019,representing China’s stock market,bond market,exchange rate market,and bulk.commodity market.Each market selects the highest price,the lowest price,and the closing price as the original data.Each price has 445 data,a total of 12 price series,a total of 5340 data,the original data are from the wind database.Through empirical analysis,the paper concludes that there is a significant difference between the volatility spillover intensity and the income spillover intensity.The overall volatility spillover intensity is higher than the income spillover intensity,but it shows a volatility downward trend during the sample period,but the dynamic income spillover decline trend is obvious early.In the case of dynamic fluctuations,the overall effectiveness of the market is strengthened.Specifically,for the rate of return spillover,whether it is the external spillover intensity or the acceptance of the spillover intensity,the yield of the commodity market has the highest spillover intensity;while the volatility spillover,the foreign exchange market has the highest external spillover intensity,and the stock market accepts the largest spillover intensity.Relatively speaking,the commodity market and the foreign exchange market are the main senders of the spill,and the bond market and the stock market are the main recipients of the spill.Attention should be paid to the changes in the intensity of income spillovers,focusing on the risk contagion of the commodity market and the foreign exchange market.