The Test Of Volatility Spillover Among HU,SHEN And American Stock Markets

With economic globalization and the openness of China's stock market continues to deepen, the link between China's stock market and foreign stock markets has Strengthened, there are volatility spillover and information transmission between them. How to estimate and model the volatility relationship between domestic and foreign stock markets has significance for risk management and financial derivatives pricing.This paper employs the model-BEKK-GARCH(1, 1),which was proposed by Engle and Kroner in 1995,to study the volatility spillover and information transmission among HU,SHEN and s&p500.the data is from 1996.1.2-2009.7.10. using 2001.1.19 day full liberalization of China's B-share market, as an important symbol of opening up the event, the sample is divided into two sub-samples. It is found that the relationship among Shanghai and Shenzhen stock markets and the U.S. stock market is different between the two sub-samples.China's Shanghai and Shenzhen stock markets and the Standard & Poor's index do not exist any of the "volatility spillover" effect before the openness of the capital market. There is no relationship between the Shanghai and Shenzhen stock market volatility. That is say that Shanghai and Shenzhen stock market fluctuations do not affect each other and there is no information transmission between them. It also does not exist any of the "volatility spillover" effects between Shanghai and Shenzhen stock markets and S & P index. That means there is no information transmission between china's and American stock markets.After the opening of the market in the capital, accompanied by QFII, QDII, as well as the series of market-oriented currency exchange rates of financial liberalization measures, makes the significant relationship changes among Shanghai and Shenzhen stock markets and the Standard & Poor's index. Standard & Poor's index and Shanghai and Shenzhen stock markets have remarkable "volatility spillover" effects, but the Shanghai and Shenzhen stock markets failed to "volatility spillover" to Standard & Poor's index. This shows that after the capital market liberalization, for the absorption and transmission of information, the U.S. stock market has leading position. It is an important source of information. China's Shanghai and Shenzhen stock markets are in a subordinate position, the information from China's stock market will not be passed to the U.S. stock market.