The Research On Spillover Effect Of China’s A-share Market And The US Treasury Market

Economic globalization and financial liberalization improve the efficiency of resource allocation,and promote global economic development.At the same time,the liberalization of finance makes information pass among different financial market rapidly, and international capital flows more conveniently.Due to the instability and speculative of international capital flow,the economy and finance in different countries are more vulnerable to the international capital flow.Asian financial crisis in1998and the global financial crisis in2008indicate that the flow of international capital makes risk deliver in different financial markets.With China accessing to the WTO and the opening of capital markets,China’s financial market, especially the stock market,is affected by the international financial market growingly.As the most important international financial markets,US Treasury market affects hedge funds and other financial capital flow,and thus have an impact on other financial markets.Research on spillover effect of the A share market and the US Treasury market contributes to formulating relevant policies for the regulatory authorities to maintain stable and healthy development of the A share market.In addition,it also finds another important factor of affecting A shares price,and improve scientific alness of decision-making in the A share market.Therefore,research on spillover effect of the A-share market and the US Treasury market has important practical significance.In this paper,we research spillover effect of the A-share market and the US Treasury market using VAR-MGARCH (1,1)-BEKK model, and want to know whether there is mean and volatility spillover effect and the direction of spillover effect.We analyze the empirical findings,explore causes,and finally make relevant policy recommendations to regulatory authorities and investors.We draw the following conclusions:1.There is the long-term stable equilibrium relationship between Shanghai Composite Index and US ten-year treasury yields.Shanghai Composite Index can not Granger cause US ten-year treasury yields,and US ten-year treasury yields can Granger cause Shanghai Composite Index.2.The VAR model shows that Shanghai Composite Index does not affect US ten-year treasury yields significantly,namely the A-share market does not have mean spillover effect on the US Treasury market;US ten-year treasury yields has a significant impact on Shanghai Composite Index,namely the US Treasury market has mean spillover effect on the A-share market.3.The GARCH (1,1)-BEKK model and the Wald test show that there is bidirectional volatility spillover effect between the US ten-year treasury yields and Shanghai Composite Index,namely there is bidirectional volatility spillover effect between the US Treasury market and the A-share market.