The Subprime Mortgage Crisis Under The Csi 300 Index And The Dow Jones Index Volatility Spillover Effects Of Study

The evidence of volatility spillover effect between stock markets means it is necessary to consider the conditions both of the domestic and foreign markets. Even from a global view, the US and China mainland equity markets are quite special for reasons below. On one hand, the US and China are the largest economic systems and their stock markets’scale are with both sides level at the top. On the other hand, research of the spillover effects between the US and China stock markets is helpful to understand and analyze the development of China’s economic and capital market openness. Meanwhile, the spillover effects’characters are different under extreme background such as financial crisis.This paper concentrates the spillover effects between CSI300and Dow Jones Index under subprime crisis. Firstly, based on relative theories, hypotheses are put forward from macro-economic perspective and micro market perspective. Secondly, the accurate time of crisis is determined by using both the news method and MRS model method. And then, the dynamic volatility spillover effects between CSI300and Dow Jones Index under subprime crisis are tested with DCC-MVGARCH model. Lastly, the transmission mechanisms are studied further and the policy recommendations are made accordingly.Main findings of this research are as followings. Through the whole period, the volatility spillover effect from Dow Jones Index to CSI300is evident and is strengthened in the process of subprime crisis. But the reverse relation does not exist. The investors’irrational behaviors are main factors causing these phenomena and the mechanism of macro-economic level is not observed currently.