Lifting Wavelet Based Volatility Spillover Effect Analysis Of Multi-resolution Of Stock Markets Between The China, Hong Kong And New York

This paper studies volatility spillover effect between the China stock markets, Hong Kong stock markets and American stock markets from different angles and different hierarchical. Firstly, Modeling the return of different stock market use GARCH model, and extracting the residual series of GARCH model, then testing the effect of residuals of them using Granger causality test. Secondly, this paper decomposes the residual series using lifting wavelet, and getting the low frequent sequence L1and L2, the high frequent sequence D1and D2. D1sequence often reflects speculation and D2sequence often reflect long-term investment operation, and L2reflect the long term trend of stock market. Then this paper analysis the volatility spillover effects of D1, D2and L2of different stock markets.Thirdly, In order to analyze the effect of long term of the China stock markets, Hong Kong stock markets and American stock markets, this paper analyzes the Granger causality test of low frequency sequence L2between the three stock markets. Finally, in order to study trend of mutual effects of the China stock markets, Hong Kong stock markets and American stock markets over time, this paper analysis the mutual effect before and after the financial crisis.This paper gets the stock price data from September7,2005to August31,2011of shanghai stock market, Hong Kong stock market and Dow Jones stock market, and eliminates the unequal data, and get1370valid data. This paper divides the data into two segments on September1,2008, and analysis the spillover mechanism from multi-scale, long term and time axis. So this paper has important reference value for further study.