Empirical Research On Measurement Of Risk Spillover Effect In Shanghai,Shenzhen And Hong Kong Stock Markets

Reviewing the development process of China's securities market for more than 20 years,which develops rapidly from nothing and small scale to existence and large scale.Mainland China has the Shanghai Stock Exchange and the Shenzhen Stock Exchange,while the Hong Kong Special Administrative Region with the Hong Kong Stock Exchange.Due to the differences of openness degree,the level of development and institutional factors,China's mainland stock market was in a relatively closed state at the beginning of its establishment,and there was a clear division between Hong Kong stock market and the risk spillover effect was not strong.As time goes on,on the one hand,along with the implementation of the policy of reform and opening up and the gradual increase of the economic and trade cooperation after the return of Hong Kong;on the other hand,with the economic crisis,the reform of non-tradable shares and Shanghai-Hong Kong Stock Connect program implementation,making China's mainland stock market and the risk of spillover effect of external markets continue to strengthen.The Risk Spillover Effect of Chinese mainland and Hong Kong stock market continues to strengthen,which will have a profound impact on the government departments and investors.Therefore,it is of great practical significance to study the risk spillover effects between Shanghai,Shenzhen and Hong Kong stock markets.This paper first reviews the theoretical and practical literatures on the effect of stock market risk spillover and then uses it as a theoretical basis.Selecting the daily closing price of the Shanghai Composite Index,the Shenzhen Component Index and the Hang Seng Index from April 29,2005 to June 30,2016 as the sample,taking the implementation of non-tradable share reform as the starting point,this paper divides the data into three stages by using the two important events of the global financial crisis and the implementation of Shanghai-Hong Kong Stock Connect program.Using the BEKK-GARCH model to analyze the risk spillover relationship of the three stock markets,in order to measure the risk spillover intensity of the stock market,this paper uses the quantile regression Co VaR model to measure the risk spillover between Shanghai,Shenzhen and Hong Kong stock markets.Empirical results show that before the outbreak of the financial crisis,the mainland stock market is relatively closed,and the Hong Kong stock market does not have a risk spillover effect on the Shanghai and Shenzhen stock markets.After the outbreak of financial crisis,all three markets have a two-way risk spillover relationship and the risk spillover direction of each market is positive.With the outbreak of the financial crisis and the implementation of Shanghai-Hong Kong Stock Connect program,the Shanghai,Shenzhen and Hong Kong stock market risk intensity is gradually increased.The most obvious phenomenon is the risk spillover Strength of the Hong Kong stock market on the Shanghai stock market presents a greater degree of improvement since the opening of Shanghai-Hong Kong Stock Connect program.In the end,this article puts forward the relevant suggestions and gives the research prospect according to research conclusion.This paper quantitatively analyzes the risk spillover effects between Shanghai,Shenzhen and Hong Kong stock markets,which is of great significance to financial regulatory authorities and investors.It is beneficial for our financial supervisory departments to catch the risk spillover intensity of each market in time and monitor and manage the high risk spillover market to maintain the stability of the financial market.It can also help investors understand the risk situation of stock market,and make corresponding investment strategies in time and finally achieve the optimal asset allocation on the basis of do a good job in risk prevention.