Research On The Channels And Influencing Factors Of International Stock Market Risk Contagion To The Chinese Stock Marke

In recent years,with the continuous advancement of financial and economic globalization,changes in one country’s stock market have more and more influence on other countries’ stock markets,that is,risk contagion in the international stock market.When there are irrational fluctuations in the international stock market,maintaining the independence of the domestic stock market is crucial to maintaining the stability of the domestic financial market and giving full play to the function of the financial market to support the real economy.With the expected increase of interest rate and balance sheet reduction by the Federal Reserve and the worsening of the global COVID-19 epidemic,the risk in the international stock market is likely to rise again,which urges scholars to carry out research on the risk contagion in the stock market,hoping to provide useful help to prevent the risk contagion in the international stock market.International stock market risk of infectious for individual stocks shows the characteristics of obvious differences,some stocks is larger,the influence of some stocks showed obvious resistance risk characteristics,this means that there may be some stocks or corporate level factors will impact on the international stock market risk contagion,find out the reasons behind the phenomenon,It can not only help market managers make policies based on listed companies or stocks to prevent the impact of international stock market risks,but also has important inspiration significance for investors to build a stable portfolio.In view of this,this paper focuses on the micro level,studies the channels and influencing factors of risk contagion from the international stock market to the Chinese stock market from the perspective of individual stocks and companies,and discusses the following three questions in detail:(1)Channel analysis: What are the micro channels of risk contagion from the international stock market to the Chinese stock market?(2)Analysis of influencing factors: What factors will affect the infectivity of international stock market risks to China’s stock market?(3)How to resist: What factors help to improve the ability of the stock market to resist the risk contagion of the international stock market from the micro-stock level?This study is aimed at the above problems.In response to the first question,this paper combines the theory of economic basis and the theory of market contagion,and explores the channels for the introduction of international stock market risks into the Chinese stock market from the two perspectives of the robustness of the company’s business and the stability of investor sentiment.This is the main content of the third chapter.In response to question 2,this paper observes that when the risk of the international stock market increases,the fund flow data of different stocks in daily trading tend to change greatly.In addition,the sensitivity of stocks to macro information is also a key factor affecting the sensitivity of stock price movements to the risk of the international stock market.Therefore,this paper studies the impact of short-term cross-border capital flows on risk contagion in the international stock market from the perspectives of short-term cross-border capital flows and stock price synchronicity(which is used to describe the sensitivity of stock prices to macro information).This is the main content of chapter four and chapter five.In response to question 3,considering the stable operating performance of highquality listed companies and stable investor sentiment,this paper constructs quality indicators of listed companies from four dimensions of corporate governance,internal control,information disclosure and sustainable development,and studies the relationship between the quality of listed companies and risk contagion in the international stock market.This is the main content of the sixth chapter.The contributions of this paper include the following aspects:(1)This paper studies the infectivity of international stock market risks to stocks from the perspective of individual stocks.The channel analysis shows that the two theories about risk contagion in international financial market--economic basis theory and market contagion theory are also applicable at the level of individual stocks.When companies operating on the dependence of the world economy is larger,or a stock investor sentiment are greatly influenced by investor sentiment in the world,the international stock market risk of the stock of infectious is bigger,because keep company robustness and the stability of investor sentiment will help to improve the ability of resisting international stock market risk impact.(2)This paper studies the impact of short-term cross-border capital flows on international stock market risk contagion.The results show that both the abnormal net inflow of short-term cross-border capital and the abnormal total turnover will increase the infectivity of international stock market risks to the domestic stock market,and the herd effect of institutional investors and leveraged traders will further magnify the influence of short-term cross-border capital flows.Current our country implement prudent supervision policy for short-term cross-border capital flows,but only to impose restrictions on cross-border capital inflows,in this paper,the research results indicate that,regardless of net inflows or total flow will affect the risk of infection,and institutional investors and leverage traders still exist certain amplification effect,to strengthen the supervision of cross-border capital flows has the certain enlightenment significance.(3)the stock price synchronicity is studied from the Angle of information sensitivity on the international stock market risk impact on individual stocks infectious,found that the higher the stock price synchronicity of stock and the macro information more sensitive,and the international stock market risk also belongs to the macro information,so the higher stock price synchronicity stock affected by the impact of the international stock market risk is bigger.Further,based on the underlying stocks and non-underlying stocks of the Shanghai-Shenzhen-Hong Kong Stock Connect,this paper studies the transmission path of international stock market risks to the whole stock from the level of individual shares.Found that "international stock market risk increase-short-term abnormal cross-border capital flow,increased risk of the underlying stocks,the underlying stock investor sentiment to the underlying stock investors increased risk of infection-not the underlying stocks,domestic financial risk to increase" is the international stock market risk to the domestic main route of transmission and in the process,Stocks with higher synchronicity are more affected.This part proves empirically that the policy of only opening some stocks to foreign capital can not prevent the risk of international stock market from spreading to other non-open stocks.(4)This paper establishes the core connotation of corporate quality,and studies its impact on the ability of stocks to withstand the impact of international stock market risks.Found that high quality company,on the whole,helps to improve the ability of resisting international stock market risk impact,but the dimension analysis found that company quality differences between different dimension influence,among them,the corporate governance and the sustainable development ability helps to improve the ability of stock against risk impact,the impact of internal control was not significant,On the contrary,information disclosure will increase the infectivity of the international stock market to individual stocks.Channel analysis shows that the higher the quality of the company,the more stable the company’s business performance and investor sentiment,thus helping to reduce the infectivity of international stock market risk to the stock.