Research On Risk Spillover And Dependence Of Domestic And Foreign Capital Markets Under The Impact Of COVID-19 Pandemic

In the post financial crisis era,we gradually realize that the damage of the crisis to the economy is no longer limited to our own countries,but spills to the financial markets of various countries through a chain reaction.In recent years,with the frequent occurrence of unexpected events,the complexity of Risk Spillover between international financial markets is becoming more and more prominent.Especially under the impact of unexpected events,it is very important to accurately measure and effectively warn them.Unexpected events have a negative impact on the national financial system,so it is of great significance for China to measure the Risk Spillover between capital markets scientifically.2020 the new covid-19 outbreak has seriously affected the economy and led to a sharp fluctuation in capital market.The impact of the epidemic on the world economy is immeasurable.Under the background of the increasing openness of the capital market and the increasing financial risk,how to measure the dependence between the capital markets and the impact of this sudden public health event on the Risk Spillover between the capital markets of various countries,especially for China,How to prevent the Risk Spillover from other countries is a major challenge we are facing at the current stage.Firstly,we select the implied volatility index of major domestic and foreign capital markets as the observation index to study the Risk Spillover between capital markets,and study the causal relationship between domestic and foreign capital markets based on the directed acyclic graph.Secondly,the value of Risk Spillover effect is calculated by the network topology analysis method,and the risk transfer chart is obtained.Then the change of Risk Spillover Effect between capital markets of various countries before and after the impact of the epidemic is emphatically analyzed.Finally,based on the direction and size of Risk Spillover between capital markets,the dynamic dependence between capital markets is further analyzed.The results show that,firstly,the capital markets of various countries are interactive and have risk spillover effect,and the largest volatility spillover value is the United States.Second,under the impact of COVID-19,the Risk Spillover of other capital markets in the US capital market has been enhanced significantly.The capital markets of four countries,Japan,Korea,China and India,are passive receivers of risk.Third,the dynamic dependence study shows that there are upward and downward risks between other capital markets and China's capital market,and the upward risk is greater than the downward risk,so the upward risk can not be ignored.These research contents have important theoretical and practical significance for improving the risk early warning mechanism and preventing major impact risks.There are several possible innovations in this paper.First,because the implied volatility index contains more comprehensive information than the stock price index,this paper uses the implied volatility index as the observation index.Second,although a large number of literatures have studied the Risk Spillover and dependence between international capital markets,there are few studies on the Risk Spillover between domestic and foreign capital markets under the impact of sudden public events.In the process of empirical analysis,this paper focuses on the change and dynamic dependence of Risk Spillover between capital markets under the impact of the epidemic.