The Characteristics Of Industrial Financial Risk Contagion In China's Stock Market

Under the background of China's economy turning into high-quality development,preventing financial risks is conducive to promoting the stable and healthy development of financial market.Therefore,it is of great practical significance to clarify the characteristics of financial risk contagion in China's stock market to establish a good financial environment.In this paper,the daily return rates of 24 industries from 2004 to 2017 were selected from the Wind database as research samples,and the research samples were divided into abnormal periods and stable periods.The abnormal periods included two bear market periods and two bull market periods.The VAR and GARCH models are used to test financial risk contagion,and the differences of risk contagion in different periods are compared.A new way of testing financial risk contagion among stock market industries is proposed.First of all,based on the VAR theory,this paper analyzes the changes in the causal relationship between logarithmic returns of various industries before and after risks,compares abnormal periods and stable periods,analyzes the main sources of infection between industries,and establishes VAR models for different periods to determine the lag order.Secondly,this paper uses impulse response function to analyze the difference of contagion in different stages of bear market and bull market.Finally,a multivariate GARCH model is established to analyze the characteristics of inter-industry volatility risk contagion.The empirical results show that financial risk contagion exists between the stock market sectors in China in terms of return rate and volatility.In different periods,the main source of contagion of financial risks is different,and there are obvious differences in the contagion effect,and the impact intensity and impact time of different industries are also different.In this paper,while discussing the financial risk contagion relationship,it also puts forward some policy suggestions for investors and financial market supervision authorities,so as to scientifically and effectively prevent financial risks and further promote high-quality economic development.