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GZIFF015.pdf

Article Title : Research on the Risk Contagion Effect of the Securities Markets in European and American Developed Countries on China
Author(s) : Jingyi Huang
Corresponding Author : Jingyi Huang
Keywords : Contagion Effect; VAR; Granger Causality Test; Impulse Response.
PDF : http://download.BCPub.org/proceedings/2020/GZIFF2020/GZIFF015.pdf
Abstract

With the development of economic integration, the effects of risk contagion among countries have become increasingly significant. This thesis uses the VAR model to compare and analyze the Granger causality test results and the impulse response functions of the impact of the return volatility of the US Dow Jones Index, the Nikkei 225 Index and the London Financial Times 100 Index on the return volatility of China's Shanghai Composite Index during the stable period and the crisis period, so as to conclude that the securities markets in the United States, Japan, and Europe have a significant impact on China's securities markets during the stable period. Among them, the Dow Jones Index in the United States has the most significant impact on the change in the yield of China's Shanghai Composite Index, followed by the London Financial Times 100 Index, and the Nikkei 225 Index is the last. During the crisis, the securities markets’ degree of relevance among China and those of the United States, Japan, and Europe declined, and the impact of changes in yields became insignificant.

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