Research On International Stock Market Risk Contagion Based On Vine Copula Model

Since the end of the last century,the wave of financial globalization and liberalization has begun to sweep the world.The major developed countries in the world have actively carried out in-depth cooperation in economic and trade,so that international capital flows rapidly in financial markets.As an important channel for the rapid flow of international capital,the stock market can easily lead to the rapid loss of capital in a country,and a serious economic and financial crisis.And,once a large-scale financial crisis occurs in a country,it will be transmitted to the capital markets of other countries closely linked through the stock market,so the stock market has become our focus.Looking back at several major financial crises in the world,there are obvious performances in the stock market and have a great impact on the country's economic system,when they happen.We select 16 stock markets with major influence in the world,and takes the yield data of each market as a sample.First,the yield data of each market is fitted and described by means of the GPD-GJR-GARCH model to analyze the fluctuation characteristics of each market.Secondly,the three Vine Copula models were used to study the overall and tail correlation sizes and mutual infection structures among the above markets.Thirdly,the maximum likelihood change test is used to verify the conclusion that the regional risk contagion structure will change when there are financial events.Finally,the new risk measurement method which is CoVaR combined with the optimal R-Vine Copula model's structure.It is used to measure the intensity of mutual risk spillover between stock markets.Empirical analysis shows that:First,there are different levels of risk spillovers between international stock markets due to the close relationship.The risk spillover intensity between national markets in Europe and the United States is generally larger than that in other regions.This is also related to the developed economies and high degree of free trade between Europe and the United States.There are asymmetric risk spillovers between national stock markets.In Europe and the United States,the French market and the US market are basically the dominant players in risk spillovers in other countries,and the spillover intensity is as high as 270%.The Asia-Pacific region is the center of risk-contagion between the Russian market and the Hong Kong market.China's SH market has only a significant risk spillover relationship with Hong Kong.Second,risk contagion is highly regional,mainly due to geographical location and differences in transactions.Third,the GPD distribution in extreme value theory can well capture the extreme value characteristics of financial time series.In contrast,the more general R-Vine Copula model is superior to the other two models.