The Analysis Of Dynamic Interdependence And Financial Crisis Contagion Among Shanghai Stock Market, Shenzhen Stock Market And HongKong Stock Market

Sinee 1990s, with the development of economic globalization and financial liberalization, the relation of world economy has become more and more closely in the fields both of the real economy and financial markets.Especially the interdependence of financial markets has rise rapidly.The governments and scholars have become increasingly concerned about the contagion of financial crisis and its Preventive measures.In order to ensure the safety and stability of stock market to withstand the impact of international capital market risk, our country adopted a series of restrictive policies on foreign investors at the inception of our stock market.With the integration of global economy, China has also implemented a number of opening up policies, and the interdependence between the domestic market and international market has gradually increased. As one of the most mature capital markets in the world, Hong Kong stock market has the world's most free and open economic system and the development of Hong Kong stock market is different from Mainland China's stock market. The highly open of Hong Kong stock market makes the linkage between it and international stock markets always strong. As an international financial center that close to the mainland, Hong Kong has great appeal to Mainland enterprises that want to be listed overseas. With the rapid development of Mainland's economy, more and more companies simultaneously listed in two markets and the mainland market and Hong Kong stock market are increasingly linked. The study of dynamic interdependence and financial drisis contagion between stock markets become more and more significantly. This paper adopts time-varying Copule model and DCC-MVGARCH model to study the dynamic interdependence between Shanghai stock market, Shenzhen stock market and Hong Kong stock market. Based on the use of BG algorithm, the whole sample is divided into different parts, and then utilize the Granger causality test in risk proposed by Hong(2001) to uncover the risk spillover effect between different stock markets.