Author(s)

Shan Wu, Jinhua Ye, Yuqin Zhou

Corresponding Author

Yuqin Zhou

Abstract

With the increasing degree of openness, and the fewer barriers between financial sub-markets, it is of considerable significance to study the linkage between financial markets, and to prevent the occurrence of significant financial risks. Based on theoretical research, this paper uses VAR model, Granger causality test, and GARCH model to analyze the stock market, bond market, money market, and commodity market in the past seven years. It is found that there is no apparent risk cross-infection between the stock and bond market as expected. At the same time, the empirical results show that there is evident risk cross-infection between the bond market and currency market, between the stock market and the commodity market risk of cross-infection.

Keywords

Linkage, Var-garch model, Variance decomposition