Spillover And Co-jump Effect In Research Among China,the United States And India's Stock Market

With the process of economic integration,the correlation among China,the stock market of developed countries represented by the United States and the stock market of emerging economies represented by India is gradually improving.It is theoretical and practical significance to study the relationship among the three countries.This paper first reviews the domestic and foreign literature on the linkage of stock market.Based on this theory,this paper studies the linkage of stock markets.It includes Volatility spillover effect,Return spillover effect and Co-jump.Research conclusion: 1.among China,India and the United States,there is a long-term equilibrium between the stock market and long-term trend of mutual influence;2.there are only obvious one-way Return spillover effect among China and the United States stock market.There are only obvious one-way Return spillover effect among India and the United States stock market but there is no such relationship between China and India stock market;3.ternary asymmetric VAR-BEKK-GARCH model of the test results show that among China,India and the United States there are fluctuations phenomenon in the stock market.There is only one-way volatility spillover effect among China and India stock market.There is a significant two-way fluctuation spillover effect between China and the US stock market.In the asymmetric effect,there are only one-way asymmetric effect among China and the US stock market,but the asymmetric effect between China and the US stock market is two-way.In the asymmetric and volatility spillover effect,there is feedback indirect effects between the three markets;4.Using high-frequency data,we found that China,India,the United States stock markets has jumping phenomenon and average jump rate of Mainland China's stock market is higher than India and the United States.The average jump rate and average variance contribution rate between Chinese and American stock markets have stronger correlation with jumping intensity.From the joint jump date,co-jump frequency of the Indian and American stock markets greater than China and the United States stock market.The correlation coefficient between China and India is similar to that of US co-jump ratio.In the face of extreme risk shocks,the gap between the strength of co-jump between China and India and the strength of the co-jump between China and the US stock market is gradually narrowing.