Study On The Risk Spillover Effects Between Chinese Financial Markets

Since the 21 st century,the development of China's financial industry has entered the fast track.As the types of cross-market financial products become increasingly abundant,risk spillovers between markets have also followed.Studying the effects of risk spillovers between financial markets can help us better understand the interconnections and operating mechanisms between financial markets,thereby improving our ability to respond to risk spillovers between financial markets.This article first summarizes the mechanism of risk spillovers between financial markets,and believes that risk spillovers between financial markets are caused by factors such as poor information flow,the fragility of financial institutions,and investor behavior.Secondly,five markets including banks,stocks,bonds,exchange rates,and gold were selected to explore the risk spillover effects among China' s financial markets.This paper uses the spillover index proposed by Diebold and Yilmaz(2012)to measure the risk spillover intensity between markets,and uses the window rolling method to observe the change in risk spillover intensity between markets in different periods.The sample interval selected in this paper is from July 2005 to June 2019,using a total of 3133 sets of data.This paper analyzes the risk spillover effects between China's financial markets from both static and dynamic perspectives.The research results show that there are asymmetric risk spillovers among China's financial markets,and exchange rate markets and currency markets have large spillovers to other markets;the gold market has the highest total spillover acceptance index,so it is in a passive position in the risk spillover relationship of each market;Among many pairs of spillover relations,the linkage between the money market and the stock market,and the gold market and the stock market is the strongest.In order to ensure the robustness of the results,the robustness of the lag model of the VAR model is tested,and the results obtained strongly support the above conclusions.Finally,this article puts forward suggestions from the three levels of policy,market and investors: at the policy level,relevant regulations should be introduced to improve the transparency of market information,and crack down on insider trading and other phenomena to maintain market stability;at the market level,for key markets Strengthen supervision,especially the overflow givers of exchange rate markets and money markets.In addition,for overflow recipients such as the gold market,we must strengthen precautions to avoid strong shocks.Establish a dynamic monitoring mechanism for risks between financial markets and issue early warnings based on risk spillovers.At the investor level,investors should not only focus on a single market,but should pay full attention to market dynamics.In addition,we should improve our financial knowledge level,not blindly follow the trend,and do a good job of asset allocation and investment portfolio selection.