Spillover Effect Of CSI 300 Index And Global Regional Indices

This paper selected CSI 300 Index and MSCI Asia Index, MSCI Europe Index, MSCI America index, MSCI Africa index and the MSCI World Index from January 2002 to December 2014 the daily closing price and data daily return data as a research Object By VAR models and GARCH-BEKK model to research before and after the financial crisis CSI 300 Index and the MSCI Asia Index, MSCI Europe Index, MSCI America index, MSCI Africa index and MSCI World Index between the mean spillover effects and volatility spillovers. The empirical results show that CSI 300 Index Futures and MSCI Asia Index, MSCI Europe Index, MSCI America index, MSCI Africa index and the daily return of the MSCI World Index in the spillover effects of the financial crisis showed significant spillover effects. And the strength of the Chinese stock market and the spillover effect of the stock market between different regions also have significant differences.This paper has five chapters: The first chapter introduces the research background, significance, research content and methods. The second chapter is to introduce the study of the literature on the spillover effects and dynamic aspects of relevance, through literature review of previous studies, summarized ideas of previous studies, the results of this research point of view. The third chapter introduces the sample data and related theoretical model used in the study of this article. The fourth chapter of China and various regional main stock index for empirical analysis. The fifth chapter is a summary and recommendations of this article.