Research On Risk Spillover Measurement Of Chinese And Foreign Stock Markets

As the main part of financial market,the study of stock market's risk spillover effect is becoming popular among academic and practical circles.The stock market volatility is not simply limited to its own country,it is also subject to the other countries to some extent.Due to the change of investors' investment behavior,the risk loss events in a single financial market will quickly spread to other financial markets.The spread of risks between such markets is called risk spillover(or volatility spillover),and the corresponding size of risk spillover is called risk spillover intensity(or volatility spillover intensity).In the context of the accelerating process of global economic integration,the economic activities of countries across the world have gradually become routine operations,and the links in the stock market are gradually strengthening.With the rapid development of China,China occupies an important economic position in the world.Scholars in various make contribution to the spillover effect risk between China stock market and other countries stock markets.The measurement tools used for most research risks are VaR,as the traditional risk measurement tool also has defects.It may undervalue the level of risk.Moreover,it excludes extreme circumstances.Finally,it fails to measure the direction and strength of spillover risk.Therefore,this paper chooses a more comprehensive and effective method CoVaR to conduct risk spillover measurement research.Based on this method,the spillover effect risk can not only be quantified,but also easy to operate and convenient for regulatory authorities to execute.This paper firstly summarizes the literature on risk spillover effect related to stock market.And the development of China's stock market,the process of internationalization are sorted out;From the perspectives of global integration,the relaxation of financial supervision in various countries,and investor behavior,the author analyzes the causes of risk spillover effects in Chinese and foreign stock markets,and provides the basis for empirical research.Descriptive statistical analysis and test were carried out on the data,and the risk spillover effect of Chinese and foreign stock markets was measured and studied based on CoVaR method.From the perspective of robustness,this paper studies the risk spillover effects between foreign stock indexes and China's Shanghai Composite Index,Shenzhen Stock Exchange Index and Hong Kong Hang Seng Index.In addition,the three quantiles commonly used in the study are selected0.01,0.05,0.1,and based on this calculation of CoVaR.The results show that :(1)the riskspillover effect of the us,UK,Japan and Hong Kong stock markets on the Chinese stock market is positive,and the risk spillover effect of the Hong Kong stock market on the Chinese stock market is the strongest.(2)the risk spillover effect between the stock markets of the United States,Britain and Japan and Hong Kong is positive,while the risk spillover effect of the Chinese stock market on Hong Kong stock market is negative;(3)the stock markets of the United States,the United Kingdom and Japan not only have risk spillover effects on the Chinese stock market directly,but also indirectly through the Hong Kong stock market.At the end of this paper,Based on empirical research,this paper puts forward relevant policy recommendations from the perspectives of risk prevention and control and investor protection to the regulatory authorities and investors.