The Analysis Of Interdependence And Financial Crisis Contagion Among Shanghai A-Share Shanghai B-Share And Hong Kong-Share Market

Since 1980s,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.This makes the contagion of financial crisis become more significant which can be verified from the history of the international financial crisis since 1980s.Before 2000,since the A-share market was open only to the domestic investors, the B-share market played the role of firewall that absorbed the majority of the shocks from the international financial market.However,after the B-share market opened to the domestic investors in February 19th 2001,lots of domestic investors arrived the B-share market while some foreign investors took the profit and evacuated from the market at a high price.The component of the B-share market took a structural change. The interdependence of A-share and B-share market improved significantly.In July 9th 2003 the first formal directive of QFⅡofficially launched.The foreign institutional investors began to enter the A-share market and impacted the price.In June 20th 2007,QDⅡpolicy was made and the domestic investors started to enter the international financial market.These financial market reforms weakened the function of firewall of the B-share market and the interdependence of A-share market and B-share market was greatly strengthened.So now the probability of the occurrence of financial crisis due to the contagion of international financial crisis in A-share market increases greatly.In this paper,we use the DCC(1,1)-MVGARCH model to analyze the interdependence of A-share B-share and HongKong-share market and the financial crisis contagion among these three market in the Southeast Asian financial crisis,internet bubble crisis and sub-prime crisis.