Analysis Of Fluctuation Spillover Intensity And Its Influencing Factors Based On Higher Order Spectrum Analysis

With the continuous improvement of economic globalization and the development of information technology,the transmission of information between international markets is becoming more and more convenient,those markets are also getting closer.The research of relativity between markets has more theoretical significance in the environment of financial liberalization.In recent years,China's economic development has been remarkable,The Chinese stock market plays an extremely important role in China's economy.We believe that this study also has its realistic significanceThis research is divided into two levels,first,we selected the price data of 13 samples including foreign exchange,stock,crude oil and commodity futures market,estimate the fluctuation of each market based on the stochastic volatility,describe the fluctuation spillover intensity among BRENT market and WTI market;then,we construct a multivariate econometric regression model to study the influencing factors of intertidal fluctuation intensity and robust test using the moving window methodOur results support the findings that:first of all,the intensity of the spillover effect between the US crude oil market and the stock market is relatively stable in the first half stage,and the volatility after the end of 2013.Furthermore,as for the Chinese stock market and the commodity futures market to the US crude oil and stock market there is a significant explanatory power between the fluctuating intensity of volatility,which indicating the national influence of China's financial market.The contribution of this paper compromises stochastic fluctuation model to the analysis of the high-order spectrum.We estimated the volatility characteristics and degree of influence of the interflowing intensity between different markets and the fluctuation spillovers between the markets.Further seeking the Chinese financial market to the US market the influencing factors of intertwined intensity.This article provides a new idea and enlightenment for the in-depth study of inter-market linkage and transmission mechanism.At the same time,we hold the opinon that rationality and breadth of those measurements and metrics are still need to be optimized.