Research Of China And American Finanical Market Volatility Spillover Effect Under Financial Crisis

Since the outbreak of the subprime mortgage crisis in the United States, the global economy has sinked into seabed.The turmoil of U.S. financial market has affected the world's financial markets continually. As one of the world's most important emerging financial markets, China's financial market can not escape from it.The study's objective was to the issue for comparing volatility spillover effect of China and American financial markets, I intercept January 1,2006 to December 31,2009 in Shanghai stocks, Hong Kong stocks and U.S. stocks data (shanghai Composite Index, S & P 500 Index and the Hang Seng Index) and the corresponding exchange rate data to analyze.Copula models can handle the non-linearity and the correlation properties of asymmetric, and it overcome the defects of pearson's correlation coefficient that applicated in the financial markets.The stochastic volatility models (SV models) based on bayesian analysis can describe the level of the volatility of financial data, the characters of clustering, and heavy tails. Compared to the GARCH model, SV models is more suitable to be a marginal distribution of Copula functions. This article firstly established stochastic volatility models of the six return series and compared the DIC values of those SV models.The empirical results show that:SV-T model can describe the volatility of Shanghai Composite Index and the Hang Seng Index, while SV-MN model can describe the volatility of S&P500 index, the RMB return volatility, HongKong dollars and U.S. dollars. I further analyzed the structure change points of these financial series though the packages of the R software, and found change points in the United States and Hong Kong stock market and currency changes, then according to the segmentation of change points to established models. Finally, the results of t-Copula models can be drawn between the pairwise correlation coefficients of financial markets. At last, I used the rusults of Z test to determine whether a significant changes between the adjacent correlation coefficients, and the conclusion shows that:(1) Among the period of crisis, U.S. stocks on the Shanghai and Hong Kong stock market is a significant volatility spillover effects; (2) There is not exist long-term volatility spillover effect between the Shanghai stock market and Hong Kong stock market; (3) CNY/EUR and USD/EUR have a significant volatility spillover effects in the May 20,2009; (4) HKD/EUR and USD/EUR have long-term volatility spillover effects; (5) HKD/EUR and CNY/EUR show a significant volatility spillover effects between the beginning and the outbreak of subprime mortgage crisis,and the volatility of USD/EUR can indirectly pass through to the CNY/EUR. In addition, I analyse the reason of volatility spillover effects under the sub-prime crisis.