Research On Risk Spillover Effect Of Financial Markets In China And Its Influence Factors

By the improvement of economic globalization,financial markets continue to influence and rely on each other,providing a richer and more convenient channel for financial risk spillovers.Taking the global financial crisis in 2008 as an example,it began with the subprime housing credit crisis in the United States.The rapid spread of risk in a short period of time caused the bankruptcy of real estate mortgage companies and led to sharp fluctuations in foreign exchange,capital markets,and the real economy.This has led to a sharp drop in global financial asset prices and has become a more farreaching and harmful global financial crisis since the Asian financial crisis.Although the level of openness in China was relatively low at that time and thus the impact of the crisis in China was lighter,however it does not mean that China's financial risk issues can be ignored.In particular,after the financial crisis in 2008,China's economy has been developing tortuously,and some important events such as money shortages and stock market crashes,have occurred from time to time.Reforms and economic structure adjustment have continued and deepened,and economic resilience has increased,but the downward pressure on economy is also urgently needed to pay attention.In addition,the linkage among the markets caused by the financial industry's mixed operation has been further strengthened.It is increasingly urgent and important to study the financial risk spillover behavior and control it when the hazard is triggered.This paper firstly constructs a set of index systems that comprehensively reflect China's financial market business,and adopts Generalized Auto-regressive Conditional Heteroskedasticity Model to compute volatility of each market to reflect the risk status.Then construct the risk spillover effect model of China's financial market to measure the degree of risk spillover and direction and reveal the evolution of risk spillover in financial markets.Next,control the evolution and accumulation of risks of financial markets themselves,then uses multivariate stepwise regression methods,explore potential factors that influence the spillover effects of financial risks,and find that the key factors that have a significant impact on risk transmission,laying the theoretical foundation for controlling excessive transmission of financial risks.Finally,combining the above research results and the development of Chinese social environment,propose reasonable and effective policy recommendations in order to prevent and govern systemic financial risks.The results show that: Firstly,the overall financial risk spillover level of China fluctuates between 70% and 92% for a long period of time with fluctuation and uncertainty.which is greatly affected by extreme events.Secondly,the currency market,real estate market and stock market occupy central position in the financial system,and there are many high-risk agglomeration markets connected to them,forming risk network with fragility and heterogeneity.Among them,the currency market has the strongest ability to conduct risks to other markets and has absolute risk control capabilities;the bond market has the strongest ability to accept risks passively,and its independence needs to be strengthened;And thirdly,economic fluctuations and inflation have an positive effect on the spillover of financial risks,the strengthening of financial liberalization and the rise of investor sentiment have an inhibitory effect on the spillover of financial risks.By the above conclusions,to a certain degree,the government could control these factors to regulate systemic financial risks when the economic development is in an abnormal state.