Research On Volatility Spillover Effect Between American Stock Market And Chinese Stock Brokerage Price Before And After The Financial Crisis

With the continuous close economic exchanges between countries,the price of a country's financial market is not only affected by its own previous fluctuations,but also by the previous fluctuations of other markets in other countries.The same is true of the securities market.The stock prices of China's securities firms will not only be affected by their own past fluctuations,but also by the financial markets of other countries.This has a spillover effect.The subprime mortgage crisis that broke out in the United States in 2007 swept across the globe in a short period of time and was interpreted as a global financial crisis,which caused huge losses to the world economy.Such a speed of propagation and the degree of disruption have made global investors realize that when making investment decisions,they must not only refer to the previous fluctuations of the investment object itself,but also to the conditions of the financial markets of other countries.From this we can see that by comparing the relationship between the US stock market before and after the financial crisis to the stock prices of China's securities firms,we can fully understand the fluctuations of China's securities market,which is of great significance for maintaining the stability of our financial system and maintaining sustained economic growth.In order to study the volatility spillover effect between the US stock market and the stock prices of Chinese securities firms before and after the financial crisis,the stock market data from January 14,2000 to December 31,2019 was selected as the research sample,and the dividing point of the study was selected as the financial crisis.The end time,that is,the second quantitative easing time of the Federal Reserve on November 4,2011.Before the demarcation point was the sample before the end of the financial crisis,and the subsequent periods were sample data after the end of the financial crisis.Causality test model and BEKK-GARCH model.Empirical analysis shows that:(1)Before and after the end of the financial crisis,the US stock market rate of return sequence and the Chinese securities firm's stock price rate of return sequence and the Chinese securities firm's stock price rate of return sequence are both stable and do not obey the normal distribution.(2)From the results of the Granger causality test,before the end of the financial crisis,there was no significant cause-and-effect relationship between the US stock market and the stock prices of Chinese securities firms.Significant Granger cause.(3)From the results of the volatility spillover effect,before the end of the financial crisis,there was no significant volatility spillover effect between the US stock market and the stock prices of Chinese securities firms,which is in line with the reality of Chinese securities firm industry that has just started.There is a significant two-way spillover effect between China and Chinese securities firms' stock prices,which may be caused by the closer ties between countries after the financial crisis and the accelerated speed of capital flows.