Research On The Linkage Effect Of Financial Markets And Its Applicatio

With the deepening of economic globalization and trade liberalization,the linkage effect between international financial markets has gradually strengthened.The financial risk caused by the subprime mortgage crisis in the United States in 2008 quickly developed into a global crisis.The impact of the new crown epidemic on the global financial market in 2020 has caused violent fluctuations in the financial indexes of various countries,which fully proves the trend of increasing m arket linkage.The fatal systemic financial risk brought about by the cross-market transmission of financial shocks makes the theoretical circles and the industry pay more attention to the study of the linkage effect of financial markets.Significant spillover effects and dynamic correlations are often used to study the linkage effects of financial markets.Such spillover effects and dynamic correlations exist not only in similar markets,but also in different types of markets.The gold market,foreign exchange market and stock market are the core elements of the financial system and important places for risk redistribution.The inter-market linkages are complex and intertwined,affecting the balanced development of the entire financial market.It is of great significance to study the linkage effect of financial markets.From the national level,analyzing the relationship between various markets is conducive to predicting the transmission path of risk exposure in advance,formulating relevant countermeasures,and reducing risk hazards.From the investor level,understanding the linkage effects between markets is of great significance for portfolio diversification,hedging and risk management.Therefore,this paper focuses on the research on the linkage effect between important global financial markets,integrates the three major financial markets of domestic and foreign gold,stock index and exchange rate into an overall framework,analyzes the linkage effect of my country’s financial market in different environments,and thus contributes to the health of my country’s financial market.Development provides theoretical support.Selecting the stock indices,exchange rates and the daily closing price of gold in China,the United States,and the United Kingdom as research samples,a VAR-BEKK(DCC)-GARCH model is constructed to measure the linkage effect of financial markets from spillover effects and dynamic correlations.The specific steps are as follows:Step 1:Build a VAR mean spillover effect model,use the Granger causality to test the mean spillover effect among various markets,and analyze the impulse response relationship of the international market to the three domestic financial sub-markets.The second step is to extract the residual of the mean equation to establish a BEKK-GARCH model to study the volatility spillover effect between markets,and use Wald to test the volatility spillover effect.Step3:Establish the DCC-GARCH model to study the dynamic correlation of domestic and foreign financial markets.The results of the study show that:(1)most of the fluctuations in yields between markets come from the markets themselves,and the US financial market has a stronger correlation with the Chinese financial market than the UK;(2)from the perspective of spillover effects,there is a relatively strong correlation between financial markets.Strong linkage,and the linkage between similar markets is usually stronger than different markets,there are significant two-way mean spillover and volatility spillover effects between the domestic gold market and foreign exchange market,and the linkage effect between the two is stronger than the stock market;(3)From the point of view of dynamic correlation,during the period of market turbulence,the dynamic correlation changes greatly and the correlation is strong;(4)China’s financial market is an important receiver of spillover effects,of which the US market is the recipient of the spillover effect of the Chinese market.source.The research results of this thesis can provide a strong theoretical basis and empirical methods for preventing systemic financial risks and investment risks,and help our country to further improve financial market risk management,which is of great significance to national financial security.