Multi-channel Common Volatility Spillover from Global Main Equity Markets to Chinese Equity Markets——Based on the CSI Industry Indices during the European Debt Crisis Perspective

Abstract

Abstract:

In this paper, multi-channel common volatility spillover model is proposed based on spectral clustering, independent component analysis, GARCH and VAR. The model is used to analyze multi-channel common volatility spillover from global main equity markets to Chinese equity markets based on the CSI industry indices data during the European sovereign debt crisis. Empirical research shows that volatility of several CSI industry indices are affected by global main equity markets via multi-channels during the European sovereign debt crisis, and the volatility spillover takes the characteristic of aggregation.

Key words: financial risk, multi-channel common volatility spillover, industry indices

Sumuya, Guo Chonghui. Multi-channel Common Volatility Spillover from Global Main Equity Markets to Chinese Equity Markets——Based on the CSI Industry Indices during the European Debt Crisis Perspective[J]. , 2015, 27(11): 21-32,95.

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