| After more than thirty years of development of the stock market in our country,the number of stocks carried and the number of investors participating are expanding constantly,and the investment environment becomes increasingly complex.During this period,it has experienced the impact of several financial crises,and the market and policies have been adjusted constantly.However,as an immature market,uncontrollable fluctuations still occur in the face of unpredictable shocks.At the same time,the connection between industries is becoming closer,and studying the volatility and linkage between industries under external shocks can give a deeper understanding of the laws of economic development.This paper selects 8 industry indexes,including 6 manufacturing industries with obvious input-output relationship,such as steel,machinery and equipment,auto parts,automobiles,non-ferrous metals,and batteries;A computer index related to Internet technology,which has no absolute input-output relationship with manufacturing;and a multi-financial index for non-manufacturing industries.Firstly,the wavelet denoising process is performed with the improved threshold function,the smoothness test and the ARCH effect test are performed on the denoising data,and then the GARCH model is modeled.Finally,the data was divided into three groups according to manufacturing,non-manufacturing and financial industry,a total of nine pairs of industry groups,and BEKK-GARCH modeling was carried out.The spillover effect between different industries before and after the COVID-19 outbreak was analyzed.The main conclusions of this paper are as follows:In this paper,an improved threshold function is established for wavelet denoising,and the denoising effect of 8 industries is better than that of the traditional threshold function.The modeling analysis of the volatility spillover relationship between industries before and after the novel coronavirus outbreak shows that for industries in different industrial chains,the volatility spillover effect between the two industries is affected by the novel coronavirus outbreak to different degrees.Compared with before the novel coronavirus outbreak,the upstream to downstream volatility spillover effect of the manufacturing industry is enhanced during the novel coronavirus outbreak,while the computer industry’s volatility spillover effect on the manufacturing industry is weakened.And the volatility spillover effect of diversified financial industry on manufacturing industry is enhanced. |
