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The spillover of the wave-bream in the inter-State financial market and its dynamic characteristics

Dexu He

Abstract


in DCC - GARCH , DCC - egarch , DCC - tgarch Method , takes a medium , Beautiful , Day , Germany , UK etc countries 1993 year 1 Month to 2013 year month Financial data , empirically draws the following knot comment : Sample Domestic market rate and index volatility present spikes , fat tail , biased features ,more compliant t divide cloth . -like domestic market interest rate fluctuations show significant spillover effects , leverage effect and linkage effect . Sample Country shares the spillover effect of volatility on Chinese stock index volatility tends to increase , especially after the US financial crisis . Sample Country interest rate fluctuation has a certain spillover effect and leverage effect on Chinese stock index volatility , but the Impact is very low . governance Worldwide financial risks ,National authorities should strengthen policy coordination , Reasonable risk sharing .


Keywords


Financial market volatility spillover dynamic correlation

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References


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DOI: http://dx.doi.org/10.18282/ff.v6i1.470

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