A Study On The Spillover Effect Between China & America Stock Markets And Oil Price Based On Beyesian VAR-MSV Model

Crude oil has an important role in national economic development and is the lifeblood of the national economy, which is related to all aspects of the national economy. Crude oil prices on the economy indeed affect the whole body; therefore, studying the impact of crude oil price fluctuations on the national economy appears particularly necessary. The stock market has long been regarded as a barometer of the national economy, so the development and economic growth of the stock market has a strong positive correlation. Under financial market integration and the economic globalization trend, with the development of international trade, capital flows, cross-border direct investment and modern information technology, information collection which is based on the capital market pricing should be global. Stock market returns and volatility in a country affected not only by their early volatility may also be influenced by other pre-market or other product in the same market volatility, so the study of oil prices on the stock market volatility spillover effect has certain significance. And simply considering the linear relationship between the two markets has been unable to explain the impact of unexpected structural mutations on the transmission mechanism, so constructing VAR-MSV model to explain the effects of time-varying volatility spillover is doneIntroducing the fluctuation cause is the first step, in succession, analyzing the pathway between the oil price and stock market. in order to study the spillover effect between the two products, VAR-MSV model is constructed.In order to solve the VAR-MSV model parameters estimation, model parameter estimation MCMC sampling algorithm is designed. Finally, select the CSI300 Index, the international crude oil price index and the S&P 500 index as the research object, the international crude oil price index for the mean and volatility spillovers CSI 300 Index and the S & P 500 index, and compare the selected sample different time intervals, and explain the different dynamics of the correlation coefficient.The results showed that the volatility spillover effects, the international crude oil market to exist in China and the US stock market volatility spillover effect, but more pronounced volatility spillover US; the US stock market to the international crude oil market volatility spillover phenomenon exists, but is less than the international fluctuations in the market for its crude oil spill; Chinese stock market to the international crude oil price volatility spillovers to not significantly different from zero, so the Chinese stock market volatility spillover effects on international crude oil does not exist. In terms of the dynamic correlation, the correlation between the two countries crude oil stocks are time-varying characteristics of the crude oil and the US stock market's dynamic correlation is more significant.