| With the further development of China's market economy,the relationship between industries is increasingly closed.In the perspective of China's stock market,this paper uses ten CSI industry index of materials,industrials,consumer discretionary,consumer staples,health care,financials,information technology,telecommunication services and utilities,to explore the volatility spillover effect between different industries.Considering the impact of international stock market,this paper introduces the international stock market as a reference factor in the research.In this paper,we use the method as spillover index proposed by Diebold and Yilmaz(2012),and grainger test and impulse response are also used in this paper.The sample interval was selected from January 4,2005 to February 23,2018,with a total of 2836 sets of data.We use static and dynamic perspective to analysis this problem by three levels,which are international stock market,China's stock market and the China's industry stock market influenced by international stock market.There are four main results of this study.Firstly,the international stock market has a low volatility spillover effect to China's stock market,and vice versa;Secondly,the connectedness between international stock market and China's stock market has a weak conduction to the connectedness among China's industries stock market;Thirdly,industrial and consumer discretionary are the main volatility spillover sender,while energy and financials are the main volatility receiver,Finally,there is a trend in industry's connectedness itself and most of the industry's connectedness has a one-way negative impulse response from other industry's connectedness,and the connectedness of the downstream industry is easy to have a response from the connectedness of upstream industry.Therefore,the state should pay more attention to the information changes of upstream industries,especially to the industrials and consumer discretionary. |
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