Study On The Interrelationship And Risk Spillover Effects Of Liquidity Risks In European,American And Domestic Stock Markets:

With the development of human society,epidemics are also evolving.Each outbreak of epidemics brings untold casualties to human society,and also has a huge impact on social economy.The outbreak of COVID-19 in the world has caused the stock market to shake violently.The U.S.stock market triggered the circuit breaker mechanism four times in a week,creating the largest decline ever.The economic stimulus policies issued by central banks have not achieved remarkable results.Large capital flight and short operation further aggravate the liquidity risk in the international market.In this paper,from the perspective of liquidity risk,based on VAR model and MV-CAViaR model,the correlation between Europe,United States and domestic A-share market during the three epidemic durations since the 21st century has been studied and analyzed.For H1N1,the correlation between the three markets during the normal period and the epidemic durations has been studied,and the dynamic correlation between the markets before and after the COVID-19 outbreak has been considered.The empirical results show that the outbreak of the epidemic makes the interaction among the three markets closer.However,the research results of historical data during the three epidemics show that the European and American markets occupy the main position in liquidity risk contagion and spillover effect,and the domestic A-share market is greatly affected by the peripheral stock market.European and American markets have different influence on each other in the three epidemic durations,but the European market has significant influence on the US stock market in the three epidemic durations because of its special status.Due to the low volatility after the bull market turned to bear market in 2015 and the basic control of the domestic epidemic situation,the European and American markets have changed the liquidity risk contagion effect on the domestic A-share market during the recent COVID-19 period,and the liquidity risk spillover effect is not significant.However,after the outbreak abroad,the European and American markets showed a significant risk contagion effect on the domestic stock market.The emergence of liquidity risk aggregation effect in domestic A-share market should also arouse the attention and vigilance of regulators and investors.While preventing the contagion effect of liquidity risk in European and American stock markets during the outbreak of the epidemic,the relevant regulators of the financial market should formulate relevant policies to restrict the large capital flight from the market to cope with the liquidity risk aggregation effect in the domestic A-share market.In order to make a more reasonable judgment,investors should not only pay attention to the trend of European and American markets,but also pay attention to the large capital flow of domestic A-share market.