Research On Dependence Structure And Risk Transmission Of International Stock Market

With the deepening of economic globalization and financial integration,the dependence of financial markets in various countries and regions has become increasingly stronger,and the dependence structure has become increasingly complex,which means that the financial risk is increasing.Finding appropriate tools and methods is the key to correctly understand the interdependence and structure between financial markets.Copula function is an effective tool to analyze the interdependence and structure between financial markets.It can capture the fluctuations brought by the subtle changes of extreme events to the interdependence and structure between financial markets.It has great theoretical value and preactical value.In the context of COVID-19 repeated outbreaks,our country stressed that we should pay close attention to the changes in the international financial market and stick to the bottom line of no systemic financial risks.Therefore,using copula function to analyze the complex dependent structure and risk contagion mechanism between international financial markets not only has theoretical significance,but also has actual directive significance for regulators to formulate relevant policies and investors to prevent financial risks.This paper systematically integrates the copula theory and structural change theory,establishes the structure change R-vine copula model,and uses the model to solve practical problems.Firstly,the paper introduces the detection method of structure change points,and proves the effectiveness of this method through simulation research.Based on the above research,the structure change R-vine copula model is constructed.Secondly,this paper use the structure change R-vine copula model to study on the dependent structure and risk contagion mechanism of 28 representative stock markets selected from the world.Finally,according to the empirical research,this paper summarizes the methods to reduce financial risk.The research shows that the combination of R-Vine Copula model and change point test to construct Variable Structure R-Vine Copula model can avoid the subjectivity of artificial change point judgment.Under the background of the outbreak of COVID-19,which has brought great impact to the international stock market,the paper applies the constructed Variable Structure R-Vine Copula model to study the dependency structure and risk transmission effect of the selected 28 stock indexes under the impact of COVID-19 and the major financial crisis in recent years.The results show that,from the perspective of dependency structure,the dependency structure of global stock markets has obvious intercontinental regional aggregation characteristics,And the dependence between the two linked stock markets in the Asia Pacific region is generally lower than that in the European region and the Americas region;From the perspective of risk transmission effect,the risk transmission effect of the subprime mortgage crisis is greater than that of the COVID-19,and the risk contagion effect of the European debt crisis is the smallest.