A Study On The Inter - Industry Risk Spillover Effect Of China 's A - Share Market With Government Policy As The Impact Source

Since the reform and opening-up, China’s economy has made great achievements, largely due to the correct guidance of the government’s macro-control policies. In the process of transforming from the traditional planned-economy system to the market-economic system, our government has implemented a series of macro-control policies to guide the economic transformation, optimize the industrial structure and realize the industrial upgrading. The implementation of some government policies have had an significant impact on the Chinese economy. At present, the government introduce macro-control policy frequently to adjust the industrial structure and guide the economic restructuring. For the adjustment of industrial structure and economic transformation is an important impact source of China’s economic fluctuations, the government needs to grasp the expected control efforts of the policies which adjust the industrial structure.Based on the correlation between the political cycle and economic cycle, this paper proposes a point that there exists policy orientation change which relevant to the political cycle at the congress meeting of CCP is held before and after, and the risk spillover effect between related industries is significantly affected by this policy change. Using methods of quantile regression-CoVaR and DCC-GARCH-CoVaR to analyze and verify the data of Industry, public utilities and financial real estate (CN industry index classification) in China’s A stock market. The result shows that under 1% significance level, both the risk spillover caused by the industry to the public utilities and to the financial and real estate, the policy variables which is constructed based on the orientation of general government policies have significant influence on inter industry risk spillover. And the orientation of general policies before the meeting is relatively tightened, the orientation of general policy after the meeting is relatively liberalized. The absolute value of the estimated coefficients of the policy dummy variable after the meeting is 4 times higher than that of the policy dummy variable before the meeting. The results of this paper are consistent with the fact that the government gives more efforts to stimulate economy than to restrain the economy.