Effect Of Multi-market Synergies To Chinese Stock Market

The stock market is an essential part of financial capital markets, whosehealthy development has significance for the sustainable development offinancial capital markets. In-depth study of the relationship between volatilityspillover among the capital market (including the spot market and the stock indexfutures market), the money market and the bond market is necessary for theregulators and the investors to regulate and invest in the financial capital market.We select the CSI300spot market, the stock index futures market (CSI300),the SSE government bond market, the foreign exchange market and the repomarket as target markets. Choosing the data of price from October8,2012toDecember11,2013and three typical contracts of stock index futures (IF1306,IF1312, IF1406) during the sample to analyze the basic statistical features andtrends.Using the least squares method to study the correlationship between themulti-market and spot market. Do ARCH effect test on the stock market, bondmarket, stock index futures market and the repo market. Meanwhile, establishGARCH model to analyse the volatility spillovers in spot market and repomarket.Establishing a GARCH-M model on the multi-market and spot market tomeasure the volatility of the relationship between risk and return, choosingEGARCH model to reseach the risk transformation.Results show that the yieldsequence of the stock index futures market, the bond market and the stock marketis significantly correlated. The impact of foreign exchange fluctuations on thespot market can not measure with empirical analysis. Besides, there is a lowcorrelation between the repo market and spot market on volatility. There isobvious volatility between the spot market and the repo market, and the impactof bad news on volatility is greater than the impact of good news on volatility.Risk transfer direction is from the repo market passing to the spot market.Thereis a positive correlationship between the expected benefits and risks of eachmarket,and the fluctuations in the repo market and the spot market showing athick tail characteristics.