Open AccessThe Spillover and Transmission of Chinese Financial Markets Risk
Author(s) -
Sha Zhu
Publication year - 2018
Publication title -
international business research
Language(s) - English
Resource type - Journals
eISSN - 1913-9012
pISSN - 1913-9004
DOI - 10.5539/ibr.v11n8p66
Subject(s) - spillover effect , financial crisis , financial market , stock market , index (typography) , financial risk , china , volatility (finance) , stock market index , business , economics , financial system , monetary economics , finance , macroeconomics , paleontology , horse , biology , world wide web , computer science , political science , law
After the 2008 financial crisis, the whole world financial markets became more fluctuates, the same to China also. It is necessary to pay great attention to high volatility problem in Chinese market, and also the uncertainty problem, risk accumulation and spillover effect come along with it. This paper calculates stock market return and builds financial stress index to explore the risk spillover effect. Empirical results show that the Chinese financial market have higher volatility than other countries. The Chinese stock market had higher dynamic market co-movement with international financial markets after 2008 financial crisis. What’s more, this article also finds the financial risk spreads between China and US. When the US financial stress index increases, China's financial stress index experiences a larger increase. However, after the change in China's financial stress index, the US financial stress index has no obvious trend of change. So we should pay more attention to periods of Chinese financial market risk and its spillover.