Research On Mean Spillover And Volatility Spillover Of Chinese And American Stock Market

Under the background of economic globalization and financial liberalization,the economy and finance of all countries are more and more vulnerable to the influence of international capital flows.With China’s accession to the WTO,the reform of China’s economy is promoted,which makes China’s economy more market-oriented and open,and has more and more connections with foreign stock markets.China’s A-share market and the US stock market are the world’s first and second largest stock markets.In 2018,the US imposed tariffs on Chinese trade,triggering friction between China and the US,which further affected global financial turmoil.At the beginning of 2020,with the spread of COVID-19 worldwide,the US stock market suffered multiple circuit breakers,which triggered A chain reaction in all stock markets including China’s.Studying the spillover effects of China’s A-share market and the US stock market is helpful for the regulatory authorities to formulate policies to maintain the steady development of a-share market.Therefore,it is of great practical significance to study the spillover effect between Chinese and American stock markets.This paper selects the returns of CSI 300 index,NASDAQ Index,Shanghai Composite Index and Dow Jones Industrial Index from January 2,2014 to October 15,2021,and divides the data into three stages: before the Sino-US trade war,during the Sino-US trade war and during the outbreak of the epidemic.Using the VAR model and the BEEK-GARCH model to a-share market in China and the U.S.stock market mean spillover effect and volatility spillover effect between study and research the existence of A spillover effect,according to the empirical results analyzed its forming reason,to regulatory authorities put forward relevant policy Suggestions,let the Chinese stock market can be as much as possible to prevent and avoid the risk of foreign,Long-term and stable development.This paper draws the following conclusions.First,There is A long-term stable equilibrium relationship between the two indexes in China’s A-share market and the two indexes in the United States.The change of a-share index cannot cause the change of the American stock index,but the change of the Price of the American stock market can cause the change of China’s A-share index.Secondly,VAR model shows that csi 300 index has no significant influence on NASDAQ,Shanghai Composite Index and Dow Jones Industrial Index in the whole period from 2014 to 2021.Nasdaq has A significant impact on CSI 300 index and Dow Jones Industrial Index has A significant impact on Shanghai Composite Index,so there is A one-way mean spillover effect in the US stock market on China’s A-share market.Finally,According to BEEK-Garch model and Wald test,there is a volatility spillover effect between IXIC and CSI 300 and between DJIA index and SSE Composite Index in the overall stage,while there is no volatility spillover effect between CSI 300 and IXIC and between SSE Composite Index and DOW Jones Industrial Index.That is,there is A one-way volatility spillover effect between the US stock market and China’s A-share market in the whole sample stage.Before sino-US trade,there was one-way volatility spillover between IXIC index and CSI 300 index,and two-way volatility spillover between Shanghai Composite Index and Dow Jones Industrial Index.During the sino-US trade war,the CSI 300 index and IXIC index had volatility spillover effect,while the Shanghai Composite Index and The DJIA index did not.During the outbreak,the IXIC index had a one-way volatility spillover effect on the CSI 300 index,while the Shanghai Composite index and the Dow Jones Industrial Index had a two-way volatility spillover effect.