Contagion Effect Inspection And Empirical Analysis Of American Financial Crisis In The The Stock Market

The global financial crisis is not yet completely ends by the U.S. subprime mortgage crisis, and the effect of world economic is unprecedented. Under the impact of the financial crisis,many countries and region of the world economy are influenced in different level.China has also failed to in this financial disaster, stock market badly shrunk makes domestic economic serious setback.This paper study the contagion effect between Chinese stock market and international stock market by global financial crisis.Firstly,I find the specific time of various countries affected by U.S. financial crisis in Quantile regression model,and divided the selected data into smooth period, and crisis periods. Secondly, I prove the sample countries stock market with the U.S. stock market existing contagion effect by using the VAR model of Granger causality test method. Finally, I use the impulse response function to confirm the existence of infection, and found each country from infections intensity, duration through the impulse response diagram. In the end the paper, I compare the Chinese stock market and international stock market infectious inspection results,and get the following conclusions:(1) the United States is crisis of infection. (2) In crisis period, the selection of all countries in the stock market with the U.S. stock market are existing contagion effect. (3)The infected points of China's stock market is quicker than the other countries relatively, it is the proof that China's economy is more close with the world and international status is rising. (4) In the infection strength comparison, China's stock market by infection intensity is the largest, and the falling of the Chinese stock market is the kingdom satisfication-level in all samples in the financial crisis In view of the above conclusions, this paper concluded the problems of the China's stock market, and provide the policy suggestions for the problems.