Research on the Correlation of Financial Stress Index of Mainland China and Hong Kong

摘要：

　　To explore the potential contagion and spillover effect between the financial system of Mainland China and Hong Kong,this paper constructs the financial stress index describing financial risk conditions in Mainland and Hong Kong, then sets up a VAR to study whether there is risk transmission between the two markets or not.The results indicate that the a Mainland financial shock accounts for partly variation in Hong Kong FSI and Hong Kong financial stress can cause Mainland financial instability.

关键词： financial risk financial stress index Mainland Hong Kong

作者: Gu Yu Xin Shuang

作者单位: School of Economics, Dalian University of Technology, Dalian, China, 116024

会议类型: 国际会议

会议名称: the 8th (2016)International Conference on Financial Risk and Corporate Finance Management(第八届(2016)金融风险与公司金融国际研讨会)

会议地点: 大连

会议语种:英文

页码: 233-238

在线出版日期: 2016-07-03（万方平台首次上网日期，不代表论文的发表时间）