The Spillover Effects Of Shenzhen And Shanghai Stock Market

Along with the developed of communication technology and finance Derivatives, the theory of"finance chasten"and"finance deepen"was put forward, many countries withdraw finance restrict one after another, making the information exchange more regularly, at last enhance the relativity between different markets. So the finance market return fluctuate would translate from one to another, called overflow affect.The letter analyzes the general methods of the stock fluctuate affect, such as traditional relativity model, ARCH kind model and TAR model. For the sake of building non-line model of the stock fluctuate hasty, we make a non-line test of the stock market date and then estimate the threshold value. From the estimate result of the model, we find that Shenzhen stock market has a strong overflow affect, and which exhibition two different regimes. The fluctuate is more strong when the it is bad news.This letter innovation work is following. Firstly, We use a double threshold GARCH model in dominate stock market. Threshold model commonly disport two regimes as the exterior information or the residuals fluctuate, and then analyze the non-line affect of the exterior information. But in this paper we take a double threshold GARCH model analyze the overflow affect, and for the residuals also was disport two regimes. And another innovation is that the inference method is Bayesian MCMC. This method could make sure the estimate result more precision and stability than classical OLS and ML methods.