Research Of International Financial Market Volatility Spillover Effect Under Financial Crisis

This study's objective was to the issue for comparing volatility spillover effect of exchange market, stock market, copper futures market in USA,UK and China, intercepted date close data of EUR/USD,EUR/GBP,EUR/CNY, S&P 500, London's FTSE 100, Shanghai and Shenzhen 300, COMEX Copper, LME Copper, SHFE Copper from 2005.7.22nd to 2007.10.9st, then break to two periods: before financial crisis(2005.7.22nd to 2009.4.30st) and after financial crisis(2007.10.10st to 2009.4.30st),constructed three-variable MGARCH-BEKK model, empirical results showed that: (l)Before financial crisis, the transmission mechanism of exchange market in the three countries was: USA to UK to China; after financial crisis, the transmission mechanism wasn't change.(2) Before financial crisis, the transmission mechanism of stock market in the three countries was: UK to USA to China; but after financial crisis, the transmission mechanism was USA to UK to China.(3)Before financial crisis, the transmission mechanism of copper futures market in the three countries was: USA to UK to China; after financial crisis, the transmission mechanism wasn't change.(4) Before financial crisis, there was two-way volatility spillover effect between EUR/USD and S&P 500 index, and the volatility spillover effect from EUR/USD to S&P 500 was more obvious; there was one-way volatility spillover effect from EUR/USD and S&P 500 to COMEX Copper; but after financial crisis, because of selling a large number of Euro, so the volatility spillover effect among finance markets disappeared.(5) Before financial crisis, in foreign exchange reserves of UK, Euro was too small to affect other finance markets, but after financial crisis, because of buying a large number of Euro, so there was two-way volatility spillover effect between EUR/GBP and London's FTSE 100, and the volatility spillover effect from EUR/GBP to London's FTSE 100 was more obvious; there was one-way volatility spillover effect from EUR/GBP and London's FTSE 100 to LME Copper. (6) Before financial crisis, there was two-way volatility spillover effect between EUR/CNY and Shanghai and Shenzhen 300, and the volatility spillover effect from EUR/CNY to Shanghai and Shenzhen 300 was more obvious; there was one-way volatility spillover effect from EUR/CNY and Shanghai and Shenzhen 300 index to SHFE Copper; but after financial crisis, because of buying a large number of Euro, although there was still two-way volatility spillover effect between EUR/CNY and Shanghai and Shenzhen 300, but the volatility spillover effect from Shanghai and Shenzhen 300 to EUR/CNY became more obvious than EUR/CNY to Shanghai and Shenzhen 300; there was still one-way volatility spillover effect from EUR/CNY and Shanghai and Shenzhen 300 index to SHFE Copper. (7)All volatility spillover effect showed obvious asymmetry. Conclusion: (1) USA was the main volatility source of finance markets in the world.(2)Exchange market is a wind vane to lead stock and futures market.(3) After financial crisis, reserve money status of Euro had been increased.(4) compared to USA and UK, the mechanism of Chinese stock market isn't integrated and mature.