Risk Contagion Mechanism And Media Role Of Cross-market Listing

With the development of global capital market integration,cross-market listing is welcomed by listed companies,stock markets and investors,but it may also become a factor that exacerbates risk contagion between markets.At present,the main cross-market listing in my country is mainly A+H cross-listing,that is,companies choose both the Hong Kong market and the local A-share market for cross-listing.As for the "international board",which is the highest level of stock market opening,my country proposed the idea of opening an international board in domestic exchanges in 2007.However,due to people’s concerns about the opening effect and risk contagion of the international board under the background that the internationalization of the RMB has not yet been realized Cognitive controversy,and therefore still not put into practice to this day.At present,the overall financial market system in the world shows a complex network structure with a high degree of correlation,forming a situation of "one piece affects the whole body",and risks are more likely to spread and spread rapidly in the overall structure.Therefore,based on the contagion mechanism of systemic financial risks,we measure the degree of risk contagion between institutions and market entities,describe the network structure of risk contagion under the financial system,and determine the propagation path of financial systemic risks and key nodes in the overall structure.,On this basis,further analyze its impact on the spread and spread of systemic risks,and then give more specific suggestions,which are very important for how to improve the stability of China’s financial market in the context of opening up to the outside world,and enhance the ability of corporate financial risk early warning.key meaning.Based on the DCC-GARCH-Copula-ΔCo Va R model,this paper firstly measures the level of systematic risk spillovers of Chinese mainland,Hong Kong markets and A+H cross-listed companies,and calculates the risk spillover value between industry indices and A+H indices.Then,use the threshold method to filter information,build a risk contagion network in stages,further analyze the structural characteristics and key nodes of the risk contagion network at different stages,and study the network morphological structure under the background of different stages based on a time-varying perspective to find the risk propagation process.important nodes and propagation characteristics in.And use the improved media centrality index to measure the media role of A+H cross-listed companies at different stages.Finally,the tail correlation between samples is measured based on the SJC Copula model,and the minimum spanning tree method is used to construct a risk contagion network as a robustness test.For the research on the "international board",this paper selects South Africa and Chile,two emerging markets that have successfully opened the "international board" as reference,and by constructing the DCC-t Copula model and the SJC Copula model to study their relationship with the United States and the United Kingdom before and after the opening of the international board Dynamic correlation and tail correlation changes between two mature markets,examining the opening effect of international boards.Through empirical research on cross-listing,it is found that the risk spillover value between all industry indices in the mainland and Hong Kong markets is positive,and there has been a substantial increase during the two financial crises in 2008 and 2015.The risk contagion graph network constructed by the threshold method exhibits different topological structure characteristics at different stages.There is a certain asymmetry in the risk contagion between the two markets.The energy,raw materials and other industries have a strong risk contagion ability,while the industries that are more likely to accept risks are mainly the financial,materials,and energy industries in the Hong Kong market.The internal risk contagion in the mainland market presents In addition,the public utilities industry in the Hong Kong market has shown strong risk contagion ability at all stages,mainly because the industry is closely related to people’s livelihood and the characteristics of high correlation between various industries.In all stages of the market risk contagion between the two places,A+H cross-listed stocks play an obvious role as the "media",and in most stages,they serve as the only channel for the contagion of market risks between the two places.Research and analysis on the "International Board" show that the establishment of the International Board has a significant role in promoting the development of emerging markets,and the linkage with mature markets has been strengthened,and it has also brought more obvious risk contagion.The opening of the "international board" is a more significant "media" role for emerging markets when they encounter systemic risks,but its degree is related to the source structure of overseas companies,the way of opening the international board and the regulatory system,the diversified source structure,direct listing methods and A relatively strict regulatory system can help reduce linkages with mature markets and reduce the contagion of major financial risks.Financial systemic risks are unavoidable,and countries should take effective and reasonable regulatory measures to minimize the probability of systemic risks and the impact of risk contagion.Based on the above research conclusions,this paper suggests that my country’s regulatory authorities should build an overall financial market risk early warning mechanism,implement differentiated regulatory governance for key nodes,and reasonably plan the degree and structure of opening to the outside world.Systemic risks and gradually deepening the level of high-level opening to the outside world have certain practical significance.