An Empirical Study On Yield Spillover Effect Of The Plates Of The Stock Market

After30years of the rapid development of the Chinese stock market, it had improved the status in the national economy, and become an important part in the construction of the socialist market economy. With the equity market reformation, some of the problems left by history on the securities market had been resolved gradually, so that the capital market financing and resource allocation function more effectively. The introduction of relevant policies and rules of the market incentive the securities research and innovation of financial institutions, then the role of the stock market and brokerage firms and other related financial institutions play the key part in the economy. After several adjustments staged several ups and downs, China’s stock market is gradually entering the development of the fast lane. Therefore, the study of various phenomena and problems in China’s stock market, can help us to be more objective, profound and comprehensive understanding of the laws of the stock market running, better regulation and investment decisions to provide a solid scientific foundation.This phenomenon can often be observed in China’s stock market:The emergence of an industry policy, the hot social issues, new technologies will caused the significant impact of its directly related industries’stocks price, but this effect may also spread to the industry will be indirectly affected, even the industries not have a significant economic relations, eventually led other the plate stock price rise or fall. For example, when some of our territorial dispute suddenly heating, the military industry of the stock will quickly be concerned about, chasing fried, shipbuilding, aviation, large equipment manufacturing company’s stock will also be affected by rising and may even driven by the change of iron and steel, petroleum and other plates.Therefore, there are two issues arising our attention, worthy we concern them from the objective, rigorous academic view:1. Changes in the return of a plate wether if impact other plates, that is, there exists the spillover effects of the revenue?2. How the spillover effects of the different plates working,and what is the size, duration, and dynamic changes?However, whether it is the traditional financial theory concerned about the individual stocks pricing, or the behavioral finance search about the contrary to rational people assume, both did not generate enough attention to the study of the relationship between stock price. Research on related aspects of the stock price, mostly concentrated in the "plate effect" and the country’s stock market gains and volatility spillovers. Limited theoretical and empirical research conclusions are difficult to give us the answers of above two issues.In this paper, the Shanghai A-share market data segments for the classification of industries and regions. Vector auto regression method is used to study the relationship between the different sections, with a correlation coefficient method, Granger causality test and co-integration test analysis plate yield between statistical correlation. Impulse response function studies a single plate exogenous shocks’dynamic effects of the other plates, and a use variance decomposition method to measure the explanatory power of the yield between each section. Conclusions obtained in this study can better compensate for the current lack of research to solve this problem, provide more detailed empirical results to verify the existence of spillover effects between different sections within the same market, and portrayed the spillover effects of each dimension of the dynamic process.The research significance of this article is:On the one hand, the stock market, exist phenomenon of IPO dammed lake, unqualified listed companies delisting mechanism should be further improved, systemic risk, such as the sword of Damocles sword hanging above the stock market. For regulatory authorities, the release of a new industry policy may contain certain policy risk, policy risk as one of the main incentives for systemic risk. Spillover effects in the plates of the industry or region will be conducive to the regulatory authorities recognize the impact of an industry policy on the stock market as a whole, and thus to prevent and resolve the systemic risk of the stock market.Due to the securities market to reflect the health of the real economy, the changes in stock prices and affect each other is often a specific reflection of the actual relationship between the relevant industry, enterprise. Plate spillovers effect will help our understanding of the real economy, which actually are the economic relations between the different sectors of the economy, as well as influence of an industry or region economic units impact on other different economic units.Practice from the investment perspective, grasp investment opportunities and portfolio construction requires a very clear relationship between different stock, a comprehensive understanding, if only isolated to a single stock, plate up to study and study, you can notaccurately determine the overall impact of the new market information on companies of different industries or regions in the entire stock market, which will greatly weaken the profitability of the portfolio and hedging ability.This paper is divided into seven sections, as follows:Part Ⅰ:Introduction. This paper introduces the research background and significance, innovation, research content and conclusions.Part Ⅱ:Associated literatures overview. This section first describes the the financial basic theory, then reviewed the plate effect literatures and market return and volatility spillovers effect literatures, and finally do a comprehensive literature review.Part Ⅲ:Research methods.In this part, the vector auto regression measurement method (VAR) are introduced, and combing the test procedures and analysis methods.Part Ⅳ:Plate index selection and data description. This section describes the standards and sample selection of industry and geographical segment indicators, and data samples are described.Part Ⅴ:Industry sector spillovers effect analysis.This section use the VAR model to test time series stationary, system co-integration relationship, Granger causality, and did the impulse response and variance decomposition analysis.Part Ⅵ:Regional plate spillover effects analysis. This part uses VAR model to do the related test and empirical analysis.Part Ⅶ:Conclusions and inadequate. The empirical results is summarized and analyzed, and pointed out that the lack of this paper and the possible expansion.