A Study On The Industrial Volatility Spillover Effect Of Chinese Stock Market

Volatility spillover effect is one of the basic characteristics of the stock market,study on the volatility spillover effect of domestic and foreign scholars is very rich,the perspective of the existing research is mainly based on the volatility spillover effect between different financial markets,and the research on the spillover effect among the stock market industries is much less.Industry is the basic composition of the stock market elements,industrial spillover effect is the symbol of information transmitted between industries,affects the transmission path of risk in the stock market,once spread,the risk of a single industry may evolve into the risk of the entire financial market.There are many factors that affect the spillover effect in Chinese stock market.Noise trading is one of the factors that can't be ignored.Chinese stock market is not an effective market,and currently in the transition stage from individual investors to institutional investors.In this process,short-term trading in the market is still very common,investors are still keen to get a variety of market gossip,these investors are mainly noise traders,they are lack of long-term investment philosophy,conducting frequent transactions,making investment strategy based on the gossip and the wrong subjective concept.In this investing environment,the existence of a large number of noise transactions is inevitable,leading to the fact that industry homogeneity and stock price synchronization is at a high level,it is not good for the analysis of industry trait information and inter-industry volatility spillover effect.Therefore,when we study of volatility spillover effect between industries,we should try to eliminate the noise interference.During the financial crisis,Chinese stock market suffered a huge external impact,the industries experienced a substantial shock,the risk released greatly,the intertemporal spillover effect also changed during the financial crisis.In this paper,we propose a new way based on revised EMD(Empirical Mode Decomposition)denoising method combined with BEKK-GARCH model to study the volatility spillover effect between industries pre,during and after financial crisis.In this paper,revise the EMD method first,then the revised EMD denoising method is used to denoise the industrial data,and then use the BEKK-GARCHmodel to estimate the volatility spillover effect coefficient between industries.This paper is divided into four parts.The first chapter introduces the research background and significance of the volatility spillover effect,and summarizes the existing research,compares the different models of the study of the volatility spillover effect,and draws the conclusion that the revised EMD denoising method combined with BEKK-GARCH model is more suitable for the study of the volatility spillover effect in China's stock market.The second chapter elaborates the theory foundation of noise trading and volatility spillover effect.In the third chapter,we analyze the method of studying the effect of volatility spillover,and explain the rationality of the method used in this paper from the revised EMD denoising method to BEKK-GARCH model.The revised EMD denoising method includes Variable point technology and threshold denoising technology,which ensures the accuracy of the noise location and maintains noise removal continuity.In the fourth chapter,the revised EMD denoising method and the wavelet denoising method are used to compare the experimental results.By comparing the denoising effect of the stock price synchronicity,the revised EMD denoising method has a better denoising effect,and then the BEKK-GARCH estimates the effect of fluctuating spillovers before,during and after the financial crisis.Finally,it is found that(1)the revised EMD denoising method has a better denoising effect than wavelet denoising method.(2)The effect of volatility spillover between industries fluctuated significantly during the financial crisis,and then the relationship between the industries within industrial chain is more obvious.(3)The influencing factors of the traditional industry development before and after the financial crisis have changed,which is affected by the volatility spillover effect of the upstream of the industrial chain and the financial industry,and the volatility effect of the scientific research is enhanced.