Study Of Risk Contagion Effect During The Stock-Market Movement

In the overall situation of economic globalization,the co-movement among national financial markets gradually strengthens,and the relationship becomes more complicated.At the same time,financial crisis and market movements frequently occur.Risk spreads to the whole world through various channels,and regional crisis has rapidly evolved into a global crisis.After the US sub-prime crisis and the European debt crisis,various countries' economies stagnated or even declined due to risk contagion effects.Therefore,it is very important to explore the specific participants,path and factors of risk contagion.In addition,in the process of the systematic study on risk contagion found that risk contagion should not only exist inter countries and regions,maybe also inter industry.Therefore,the study of risk contagion should not only have a global perspective,but also be more accurate from the perspective of industry.In order to identify the risk contagion effect between specific industries and specific countries,and determine the risk contagion path.This paper selects ten industries index of HS and eight international comprehensive indexes as research objects,and is divided into two sub-samples: stationary period and turbulent period.Linear correlation test,Granger causality test and DCC-GARCH model are used to qualitative and directional analysis inter-industry and international risk contagion effects.Through the empirical research,this paper determines the existence of the risk contagion effect between specific two or two industries and specific two or two countries,and then determines the risk contagion path.The analysis of contagion path shows that the inter-industry contagion is mainly two-way contagion,and international contagion is mainly one-way contagion.On this basis,the paper also analyzes the risk factors and important warning indexes.Finally,It is suggested that national departments and individual investors focus on the co-movement in inter industry and international market,and make risk aversion measures in advance.