Research On The Collaborative Volatility Spillover Effect Between Sub-Markets In Financial Markets

Recently,as increasingly rich trade varieties and trade size,the future market is an extremely important part of financial market,whose healthy and orderly development is the guarantee of the stable operation of financial market and which has become an important global commodity future market.Both the 2008 financial crisis and the European debt crisis,the infectious risk in the financial market have caused great destruction,with the continuous development of China financial market,the relation between the financial sub-markets increasingly close.National future market cumulative volume is 4.14 billion hands and cumulative turnover totally is 195,630.00 billion RMB in 2016,the commodity futures market has an important position in China financial market,the research of the Volatility Spillover Effect?Risk Contagion Effect?in China future market has important theoretical value and practical significance.This paper based on Independent Component Analysis method,from the level of the domestic financial market and international future market,research on the Collaborative Volatility Spillover Effect to China future market from four sub-markets?the stock,bond,monetary and future market?and three international future sub-markets?the international medals,agriculture and energy industry future market?in financial market.To be specific,From the perspective of the domestic financial market,by choosing the change rate of Shanghai Securities Composite Index day closing price,Shanghai Securities Treasury Index day closing price,RMB exchange rate?USD/CNY?day closing price,Shanghai Interbank Weekly Offered Rate and Nanhua Commodity Future Market Composite Index day closing price,respectively presenting rate of return on the stock market,bond market,foreign exchange market,monetary market and future market,and building ICA-EGARCH-M model,research on the Collaborative Volatility Spillover Effect to China future market from four sub-markets in financial market.Firstly,building which is relate to GARCH model based on the character of the data of the sub-markets in financial market is to get the volatility series{?_sr,t,?_br,t,?_er,t,?_mp,t} of interest rate series of the sub-markets in financial market.Secondly,the introduce of Independent Component Analysis method to remove the correlation between these volatility series,that is,converting the volatility series{?_sr,t,?_br,t,?_er,t,?_mp,t} of four sub-markets in financial market into statistically mutually independent series{s_1t^d,S_2t^d,S_3t^d,S_4t^d};Lastly,using EGARCH-M model serve independent component factors as independent variables in mean equation to study the problem of the Collaborative Volatility Spillover to China future market from four sub-markets in financial market.From the perspective of international future market,by choosing the change rate of London Metal Exchange Index?LMEX index?day closing price,Dow Jones AIG Agriculture Index day closing price as well as Goldman Sachs Commodity Index day closing price,GSCI,respectively presenting rate of return on the international medal,agriculture,and energy industry future market.Firstly,based on MVGARCH-BEKK model to analysis the Volatility Spillover Effect to China future market from many sub-markets in international future market.Secondly,building ICA-EGARCH-M model to analysis the Collaborative Volatility Spillover Effect to China future market from the international medals,agriculture,and energy industry future market.The main conclusion of this paper is the following:Firstly,from the perspective of the domestic financial market,the stock market,bond market,foreign exchange market as well as monetary market have the Collaborative Volatility Spillover Effect to China future market,indicating with China financial market deepening reform,the risk transmission between markets is becoming increasingly apparent,but because of incomplete market,the risk conductivity is still not strong.Secondly,from the perspective of the international future market,there are two-way Volatility Spillover Effect between the international medals industry future market,agriculture industry future market as well as energy industry future market and China future market;the international medals industry future market,agriculture industry future market and energy industry future market have the Collaborative Volatility Spillover Effect to China future market.Compared with the Volatility Spillover Effect of international metals and agriculture industry future market,the effect of China future market from international Energy Industry future market is weaker,the possible reason is that the development of China energy industry future market is not perfect,and China has not yet introduced such as crude oil and natural gas,important energy future variety,and the relationship with international energy future market are not close.Thirdly,whether considering the Collaborative Volatility Spillover Effect to China future market from the stock market,bond market,foreign exchange market and monetary market at home,or considering the Collaborative Volatility Spillover Effect to China future market from the international medals,agriculture,energy industry future market,there is no significant "leverage effect" in China future market,which is different from the international mature future market,indicating that the development of China future market is no perfect enough,the marketization degree,too.In this paper,I study the volatility spillover effect between the financial market based on the empirical data of future market at home and abroad,which not only can quantify the interaction relationship between the financial markets and future market in China,understand the interaction mechanism between different financial markets,improve the ability to resist the financial risk,but also provide reference to build effective portfolio for market participants,as well as provide advice to formulate reasonable financial regulatory policies and laws and regulations for the future exchanges and regulatory departments.