Empirical Study on Influence of International Financial Spillover to Chinese Financial Stability

摘要：

This paper investigates the correlation dynamics between Chinese stock markets and other major financial markets from 2000 till now using the dynamic conditional correlation GARCH model. Meanwhile, a kind of financial stability index is constructed to measure the extent of Chinese financial market. Then the influence of international financial volatility spillover effect to Chinese financial markets is investigated on the basis of constructed financial stability index. The results show that the financial markets of China remain stable in recent years and even under the impact of financial crisis, they can still reinstate to normal status after quick deviation.

关键词： volatility spillover dynamic conditional correlation financial crisis financial stability

作者: Cao Wei

作者单位: School of Accounting, Zhongnan University of Economics and Law, Wuhan 430073

会议类型: 国际会议

会议名称: The Ninth Wuhan International Conference on E-Business(第九届武汉电子商务国际会议)

会议地点: 武汉

会议语种:英文

页码: 1215-1219

在线出版日期: 2010-05-29（万方平台首次上网日期，不代表论文的发表时间）