| Trade frictions between China and the United States,the COVID-19 epidemic that swept the world,and the frequent occurrence of the Black Swan incident have brought about an allround impact on the Chinese economy.The stock market,known as the "barometer of the national economy",has experienced many ups and downs due to its impact.The bond market and the foreign exchange market also experienced large fluctuations during the same period.With the deepening of financial integration,financial markets are more closely linked,and unexpected risk events make spillover effects between markets more significant.As three important sub-markets in financial market,stock market,bond market and foreign exchange market play an important role in the allocation of social resources and financial risk management.Therefore,studying the volatility spillover and jump spillover of stock market,bond market and foreign exchange market under the impact of risk events can help us to better understand the impact of unexpected risk events on China’s stock market,bond market and foreign exchange market,and help investors to adopt active and effective risk avoidance measures when dealing with future unexpected risk events.From the perspective of efficient market hypothesis and behavioral finance theory,this paper analyzes the causes of spillover effects between financial markets.In the empirical analysis part,this paper selects the Shanghai and Shenzhen 300 Index,Shanghai government bond index and the daily median price of onshore RMB against USD from January 5,2015 to May 25,2021 as the representatives of the stock market,bond market and foreign exchange market,takes August 14,2017 as the node where the risk event occurs,divides the sample period into two stages,and compares and analyzes the volatility spillover effect and jump spillover effect among the three markets under the influence of Sino-US trade friction and the COVID-19 epidemic.With the help of the ternary VAR-BEKK-GARCH model,this paper analyzes the volatility spillover effect among the three foreign exchange markets of stocks and bonds,uses the SVCJ model based on the MCMC method to estimate the jump terms of the three market returns,and combines the obtained jump terms with the jump spillover index to quantitatively analyze the jump spillover effect among the three markets.Finally,the following conclusions are drawn: 1.The volatility of the three stock,bond and foreign exchange markets is persistent and aggregated,and the occurrence of risk events intensifies the volatility spillover effect among the markets;The stock market has the highest degree of external volatility spillover and has systematic vulnerability,the bond market has the most stable performance,and the foreign exchange market is in the middle.2.Jumping phenomenon generally exists in the three foreign exchange markets of stocks and bonds,and there is a significant jump spillover effect among the three.Risk events can aggravate the jump spillover;The jump spillovers in the foreign exchange market of the stock market are characterized by "high probability,high frequency and small amplitude",while the bond market is characterized by "low probability,low frequency and large amplitude".The bond market dominates the jump spillovers,while the two-way jump spillovers are relatively symmetrical between the stock market and the foreign exchange market;There is a certain time lag in the transmission of jumping information,and the outbreak of risk events can promote the speed of information transmission.Finally,based on the conclusions of the empirical research,this paper explains the possible reasons for the increase of volatility and jump spillovers in the stock market,bond market and foreign exchange market under the influence of risk events,and puts forward relevant suggestions for regulators and investors to deal with small probability risk events. |
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