A Study On The Volatility Spillover Effects Of Financial Market In Crisis

In 2007 the U.S. subprime mortgage crisis rapidly developed into a global financial crisis and because of its tremendous damages to global financial and economic development, it suddenly become a global focus. The overflow mechanism of the financial crisis in a region and between regions has great significance to study the efficiency and the devastating of the financial crisis. Through these studies we are not only able to get some inspiration, but also we can have good preventive measures for the occur of the financial crisis and the spillover effects in the future.When study the financial crisis'spillover effect in a region or country, I select the S & P 500 Index, American's 13-week U.S. Treasury Index, the Philadelphia Gold and Silver index's daily return from January 3, 2005 to July 12, 2010, total of 1358 data between the sample and divided them into three periods: the period before the financial crisis, financial crisis period, after financial crisis period. Empirical results indicate that: (1) from the period before financial crisis to the financial crisis period, the U.S. Treasury index has volatility spillover effects on the gold and silver index, and the gold and silver index has volatility spillover effects on the stock market; (2) from the financial crisis period to the period after financial crisis, gold and silver index has spillover effects on the short-term Treasury index.When study the financial crisis's volatility spillovers between regions, I select the U.S. S & P 500 Index, U.S. Treasury Index 13 weeks, the Philadelphia Gold and Silver index, the Shanghai Composite Index, Frankfurt, Germany, DAX Index, the Russian RTS index from 3 January 2005 12 July 2010 total 1439 index's daily return as the sample. I divided the sample into the period before the financial crisis, financial crisis period, after the financial crisis period total three stages during the study. The empirical results show that: (1) the U.S. stock market always has volatility spillover effects on the international financial market;(2)The U.S. bond market has bi-directional volatility spillover effects with China and Russia's financial markets during the financial crisis;(3)the Philadelphia Gold and Silver Index has bi-directional volatility spillover effects with the Russian stock market during the financial crisis;(4) compared with Germany, China, Russia and other emerging countries'finance market are more vulnerable and imperfection.