The spillover of the wave-bream in the inter-State financial market and its dynamic characteristics
Journal Title: Financial Forum - Year 2017, Vol 6, Issue 1
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 .
Authors and Affiliations
He Dexu, Miao Wenrong
Keywords
Related Articles
- EP ID EP680189
- DOI -
- Views 187
- Downloads 0
Mechanism of Sustainability and Structure of Stakeholders in Regions
Global market and government failures might be possible to cause great crises for the global communities. To prevent the great crises global communities attempt to construct the sustainable mechanisms with integrated com...
Ring border and social will wind insurance tube such as he shadow ring Gold Merge machine construct financial b19> Performance Effect -- Empirical analysis based on international financial firms
This article combs the international Financial company's environmental and social risk management reform process, and set up the relevant econometric model, empirical points analyzes the International Financial Company's...
On risk and development trend of international financial market
China joins in WTO since , As the market continues to open , International Transfer of goods and services , International Transfer of clothing , Forex Trading ,Gold output input , This will cause all aspects of the opera...
The trend of international financial supervision system reform before and after the financial crisis、Experience and Revelation
Financial supervision system as the basis of standardizing financial market, In the aftermath of the international financial crisis, the Organization frame Frame By Step To the unified supervision of Du、 Prudential supe...
Comparison of stock market fluctuation spillover effects under the new and old international financial order Seedlings Clear
Articles use the GARCH model and Granger Causality Check , Comparative analysis of the new and old international financial order under the United States , UK , Japan , The volatility spillover effect and conduction path...