Asymmetric Spillover Effects Between China Mainland And Hong Kong Stock Markets Based On Quantile Lagged Regression

With the global integration of financial system,the connection between the world financial markets are increasingly close,the information of returns and risk in stock market transfer more and more quickly,which improve the relevance between the stock market and the dependency relationship between the financial markets in various countries are increasingly close,it is more inclined to produce spillover effect.Especially the global stock market volatility caused by the global financial crisis in 2008,which make people pay more attention to important events impact on financial markets.As a result,in order to improve the ability to guard against financial risks and promote the healthy development of the stock market,exproving the mechanism of information transmission between the stock market has become the focus of many scholars.Under the background of continuous reform of the financial system in our country.The Chinese mainland and Hong Kong in economic and financial cooperation and exchanges in the field of more and more close.So the research of spillover effect between the stock market in mainland China and Hong Kong stock market is also the practical needs of our advancing society.Therefore,on the bias of predecessors' research achievements of spillover effects in the Shanghai stock market,we adopt lag quantile regression model and comparative analysis to study the asymmetric spillover effects of Shanghai and HongKong stock market.We shoose Shanghai stock market and the Hong Kong the research object.We divided financial data during before and after the global financial crisis in 2008.From relevant theoretical analysis to model construction,the model construction is applied to empirical analysis.First of all,the literature on spillover effects at home and abroad is found to be inadequate.Then,based on the bayesian quantile regression model,the regression model is constructed.Finally,the Shanghai composite index,Hang seng index and exchange rate are selected as samples,and the data is divided into two sub-periods before and after the financial crisis.The spillover effect of several variables of return,volatility and exchange rate is studied.Statistical characteristic analysis of data,and lags order in the model selection are analyzed and determined,the lag quantile regression model constructed by using parameter estimatio n.We conducet the empirical analysis according to the results and make robustness analysis.The results show that the spillover effect of the lagged return is not dependent on the state of the stock only;While the volatility of return may increase in a bull market,it declines in a bear market.The devaluation of the RMB and the HKD will not significantly affect the current return of the hang seng index,it has a negative influence to the return of SCI after the financial crisis.Our conclusion can enhance investors' understanding of the Shanghai and Hongkong stock market.First of all,it is helpful for researching the dependency between the financial market in China and the development of the overall market integration evaluation,it can also help investors to transfer the risk of stock market and forecasts the future trend.Secondly,for stock market investors with cross-border transactions,it provide references for them to establish cross-regional investment portfolio to prevent investment risks and in crease investment returns.Finally,it can help policy makers to make a further scientific and effective market supervision and management policy to the market risk of the Chinese financial system and improve the efficiency of Chinese stock market.