Study on the Stock Liquidity Risk Spillover Effect——Evidence from US Stocks and Chinese Stock Market During the Financial Crisis

机译：股票流动性风险溢出效应 - 金融危机中美国股票与中国股市的证据

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Financial crisis are always company with liquidity crisis,people mainly focus on the transmission of Price volatility. However,Liquidity risk infection plays an important part in the financial crisis,this paper studied on the liquidity risk spillover effect among US stock market Hong Kong and Shanghai stock market based on the multivariate GRACH model. We find that: there is a strong liquidity risk spillover effect from US market to Hong Kong and Shanghai stock market,but not vice versa; Furthermore,the information that changed the liquidity of Hong Kong stock market can be transmitted to Shanghai stock market. At last,we give some reasons about our conclusion.

机译：金融危机总是有流动性危机的公司，主要关注价格波动的传播。然而，流动性风险感染在金融危机中起着重要的一部分，本文研究了美国股票市场的流动性风险溢出效应，香港和上海股票市场基于多元绿化综合模型。我们发现：美国市场对香港和上海股市有强大的流动性风险溢出效应，但反之亦然;此外，改变了香港股市流动性的信息可以传递给上海股市。最后，我们给出了一些关于我们结论的原因。

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《International conference on financial risk and corporate finance management》|2011年||共6页
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WANG Lingzhi; WANG Yonghai;
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正文语种
中图分类公司;
关键词
liquidity risk; spillover effect; risk infection; financial crisis; liquidity crisis;

机译：流动性风险;溢出效果;风险感染;金融危机;流动性危机;

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Study on the Stock Liquidity Risk Spillover Effect——Evidence from US Stocks and Chinese Stock Market During the Financial Crisis

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