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| On the Risk Contagion Effect of International Stock Market Based on 15 Stock Markets Data from 2007 to 2018 |
| LIU Chao12, WANG Shujiao12, LIU Chenqi3, LIU Siyuan4
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1. College of Economics and Management, Beijing University of Technology, Beijing 100124, China;
2. Research Base of Beijing Modern Manufacturing Development, Beijing 100124, China;
3. Department of Computer Science, University of Southern California, Los Angeles 90001, USA;
4. Dublin Institute, Beijing University of Technology, Beijing 100124, China |
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Abstract This paper uses the AR (1)-GJR (1, 1)-SKT model to describe the marginal distribution of 15 stock index returns. A hybrid R-Vine Copula model is constructed to analyze the risk contagion effect of international stock markets under the four crisis events, which include the subprime mortgage crisis, the European debt crisis, the abnormal fluctuations of the Chinese stock market in 2015 and the Sino-US trade friction in 2018. The empirical results show that the international stock markets maintain symmetrical top-to-bottom dependence characteristics in the long term. The risk contagion will cause the Kendall rank correlation coefficient and tail correlation coefficient among stock markets to rise suddenly. The subprime crisis has a strong contagious effect and a long duration, and the European debt crisis is relatively mild. In 2015, the abnormal fluctuations in the Chinese stock market had a strong contagious effect on international stock markets, but the duration was short. In 2018, the Sino-US trade friction held a weaker contagious effect on the international stock markets. China's Shanghai and Shenzhen stock markets are more integrated with Hong Kong stock market in China.
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Published: 24 June 2020
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