A Comparative Study Of The Spillover Effects Of Sino-US Stock Markets On Stock Markets In ASEAN Countries

With the strengthening of global economic and financial links and the development of information and communication technologies,the linkage relationship between international stock markets has become increasingly prominent,the risk transmission between financial markets has become more and more rapid,and the risk spillover effect has become more prominent.With the open regionalism of ASEAN countries and the establishment of the China-ASEAN Free Trade Area and the policy of the Belt and Road Initiative,the economic linkage between China and ASEAN countries has attracted the attention of scholars.Scholars have studied the correlation between China and ASEAN countries' economic relations from the perspectives of commodity trade,direct investment,and infrastructure investment,and have achieved more results.However,the comparative study of the influence of the United States and China on the ASEAN countries is rare.There are few studies on the comparative changes in the stock market spillover effects of the Chinese and American stock markets in the ASEAN countries.This paper uses the Chinese stock market and the US stock market to study the changes in the stock market spillover effects of ASEAN countries.This paper studies the changes in the risk spillover effect of the stock market in the ASEAN countries on the stock market.According to the optimal Copula model,the extreme risk spillover value CoVaR is calculated.The change of CoVaR reflects the change of the stock market's spillover effect on the ASEAN stock market.Firstly,this paper introduces the GARCH model's description of the edge distribution of time variables,and further summarizes several commonly used Copula functions.Secondly,this paper selects the optimal GARCH model to marginalize the yield of China-US stock market and ASEAN countries' stock market index.Fitting,selecting the optimal Copula function based on the fitting of the edge distribution to obtain the joint distribution of the stock market between China and the United States and the ASEAN countries;then,calculating the CoVaR between the stock market of China and the United States and the stock market of ASEAN countries,analyzing the risk spillover and Change;Finally,based on matlab's levene test to calculate the time point of the mutation,and the results of macroeconomic policy analysis of the reasons for this point.This paper finds that,on the one hand,the impact of China's stock market on the stock market of ASEAN countries is increasing,and the impact of the US stock market on the stock market of ASEAN countries is decreasing.(1)The spillover effect of the Shanghai Composite Index(CN)on the Jakarta Composite Index(ID)and the Philippine Composite Stock Index(PH)is already significantly stronger than the spillover effect of the US Dow Jones Index(US)on them;The FTSE Singapore Straits Times Index(SG),Thailand SET Index(TG),and Vietnam Ho Chi Minh Index(YN)have slightly stronger spillover effects than the United States on them;the Shanghai Composite Index(CN)on the FTSE Malaysia Index(MY)The spillover effect is smaller than the US spillover effect;(2)Although the US stock market still has a positive and strong spillover effect on the stock markets of ASEAN countries,in recent years,the US stock market has spilled over the ASEAN countries' stock markets The effect is already lower than the spillover effect of the Chinese stock market on the stock markets of ASEAN countries.On the other hand,since the establishment of the China-ASEAN Free Trade Area and the Belt and Road Policy,China's spillover effects on ASEAN countries have changed significantly.(3)The establishment of China-ASEAN in 2010 has significantly strengthened the spillover effect between the Chinese stock market and the ASEAN stock market;(4)When the Belt and Road Initiative was first implemented in 2013,due to the uncertainty of the company's future and The interference of neighboring countries has weakened the spillover effect between the Chinese stock market and the ASEAN stock market for a period of time;(5)After the government officially listed the “Belt and Road” policy as a major measure during the 13 th Five-Year Plan period in 2016,the Chinese stock market and the spillover effect between ASEAN stock markets has been further strengthened.By summarizing the previous studies on risk spillovers between financial markets,the research innovations in this paper are as follows: First,this paper studies the stock market spillover effect of the Chinese stock market on the ASEAN countries while investing in the stock market spillover effect of the ASEAN countries.Contrast,highlighting the correlation between China's stock market and ASEAN countries' stock market through direct and indirect methods is a useful supplement to the study of China's stock market spillover effect.Second,this paper directly uses the Levene test to test the CoVaR value and find The time of mutation can more intuitively reflect the sudden change of the spillover effect between the Chinese and American stock markets and the ASEAN stock market,and explore the reasons for the occurrence of the mutation time point in combination with the Belt and Road policy and related macroeconomic policies.This has more practical significance for studying the spillover effect between the stock market between China and the United States and the ASEAN countries.Third,this paper examines the spillover effects of China's stock market on ASEAN countries from the perspective of the Belt and Road,reflecting China's macroeconomic policies to neighboring countries and regions.The radiation effect directly reflects the impact of China's macroeconomic policies on ASEAN and indirectly reflects the effectiveness of the “One Belt,One Road” policy.