Research On The Information Spillover Effect Of The US On The Chinese Stock Market Under The Background Of Financial Crisis

Under the general trend of times when financial liberalization and integration have become irresistible,economic cooperation around the world has been continuously strengthened,transnational capital operations have become increasingly frequent,and financial markets have become more closely connected.But this connection is a double-edged sword.The US subprime mortgage crisis became the source of the global financial crisis in 2008,and other countries were the victims.Among them,the most representative developing country,China,the market value of the stock market has evaporated by nearly 70%.,Especially the stock market in Hong Kong,China,why does it have such a big impact on the Chinese economy? What is the information spillover effect of the US stock market on the Chinese stock market in the context of the financial crisis? This topic is worthy of our comprehensive and in-depth study.This paper studies the return-risk transmission of the US stock market to the Chinese stock market in the context of the 2008 subprime mortgage crisis,and mainly analyzes the information spillover of the Chinese and US stock markets during the period from April 1,2005 to August 31,2010 effect.In order to comprehensively study the spillover effect of the Chinese stock market in the context of the subprime mortgage crisis,the representative stock indexes of Hong Kong,Taiwan and the Mainland were selected as data indicators respectively.The empirical analysis of the information spillover effect among the four regions is mainly divided into three major steps The first step is to use the VAR method to study the average spillover effect of each stock index indicator.The second step is to study the asymmetric volatility spillover effect between two or two stock indexes through the unary EGARCH model,and at the same time judge the financial crisis on volatility spillover according to the information shock curve.In the third step,the change of the degree of asymmetry in the middle,taking into account that the unit GARCH has certain defects,use the multivariate VAR-GARCH-BEKK model to study the joint fluctuations among the four stock indexes at the same time.In summary,the first-order moment connection(mean overflow)and the second-order moment fluctuation(volatility overflow)are used to analyze how to change the spillover effect when a financial crisis occurs.Through theoretical analysis and empirical analysis,in the mean equation,the occurrence of the financial crisis has changed the effect of income spillovers.The most obvious is the expansion of the range of income spillovers in the US stock market.In the variance model,the unit EGARCH variance model verifies that there is volatility asymmetry between the stock markets.The most significant change is the positive news asymmetry in mainland China stocks turning to bearish news asymmetry.The VAR-GARCH-BEKK variance model can be seen that the emergence of the financial crisis will indeed affect the volatility spillover effect of the four stock markets.The comparative analysis of the changes is more obvious in the volatility spillover relationship between the mainland and the other three regions.