Abstract
Abstract Economic globalisation and the development of financial trade liberalisation lead to a higher probability of financial crises. At the same time, the occurrence of financial crises has a particular risk of contagion. Based on this research background, this paper constructs a dynamic Copula model. It demonstrates the application of this model in financial market risk management based on the correlation changes between the US stock market and the Chinese stock market before and after the financial crisis. The results show that the Standard & Poor’s Index and China before the crisis broke out There is a specific correlation between the stock markets, which shows that the financial crisis has affected both the Chinese and American stock markets. Therefore, risks in the financial market are contagious.
Highlights
Foreign scholars have done a lot of research on the contagion effect of the financial crisis and put forward many research methods
By comparing the Chinese and American stock markets after the crisis, it can be found that the Chinese stock market has experienced a certain degree of volatility, and the fluctuations of the Chinese stock market and the US stock market have the same trend. This is not enough to prove that the US financial crisis has a contagious effect on the Chinese stock market [4]
The Z test found that the US financial crisis had a contagious effect on the Chinese stock market only in the first phase after the crisis
Summary
Foreign scholars have done a lot of research on the contagion effect of the financial crisis and put forward many research methods. Some scholars have tested the existence of the contagion effect through Archimedes Copula’s change-point detection method, which more comprehensively analyses the interdependence structure of the country’s rate of return. They believe that the tail dependency index of the returns of two countries can be used to measure the degree of contagion. By comparing the Chinese and American stock markets after the crisis, it can be found that the Chinese stock market has experienced a certain degree of volatility, and the fluctuations of the Chinese stock market and the US stock market have the same trend This is not enough to prove that the US financial crisis has a contagious effect on the Chinese stock market [4]. This article uses a variable structure model to empirically test the contagion of the US financial crisis to China’s stock market based on collecting relevant data on the Chinese stock market and the US stock market
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