Dissertation > Economic > Fiscal, monetary > Finance, banking > China's financial,banking > Financial market

The International Financial Crisis to Our Country Eight Companies the Volatility of the Stock Price Contagion Effect and Examination

Author WangJunSheng
Tutor FuQiang
School Chongqing University
Course Applied Mathematics
Keywords contagion effect Granger causality test Impulse response
CLC F831.59;F832.51
Type Master's thesis
Year 2011
Downloads 52
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Since 1990s, the world economy, financial integration process accelerated ceaselessly, financial crisis occurred frequently. Such as: 1992-1993 Italian lire, British sterling devaluation caused into the European monetary system crisis, 1994-1995 Mexican pesos crisis triggered into Latin American crisis, 1997-1998 Thai currency crisis have evolved into the southeast Asian financial crisis, 2007 subprime mortgage crisis triggered international financial crisis. Its salient features are all a distinctive contagion effect, namely, a country’s financial crisis will quickly spread to other countries and regions. And as infect phenomenon occurred frequently, infectious consequences of damage increase gradually, such as financial institutions went bankrupt and foreign exchange reserves drained, currency devaluation, the stock markets plunged malignant, economic occurrence negative growth, even affected as a result of political stability and so on. Therefore, how to prevention international financial crisis of transmission is facing the world common topic.Based on the subprime crisis triggered by the international financial crisis, for example, the article use the econometrics Unit Root Test (单位根检验), co-integration Test(协整检验), Granger causality Test (格兰杰因果关系检验) and impulse responses function etc method to analyze the subprime crisis triggered by the international financial crisis on China’s closing price fluctuation of eight industry, it is concluded that the financial contagion crisis in industries of specific paths between infection. This paper argues that: 1) in pre-crisis smooth period Chinese industries of closing quotation price fluctuation is not obvious causality, 2) during the crisis steel industry of closing quotation price fluctuations in most industries of closing quotation price fluctuations are unidirectional causality, with a few industries of closing quotation price fluctuations have two-way causality. In fact, this is because the subprime crisis after the outbreak, China’s domestic automobile industry, real estate, shipbuilding, etc for steel demand is bigger industry first being negative effects, resulting in the market for steel demand decreases, steel price substantially, which directly affecting the steel industry. This not only shows the steel industry crisis to other industries have contagion effect, also explains the subprime crisis crossover contagion effect. Impulse response analysis is dynamic describes the steel industry crisis for other industries impact strength and impact duration. On this basis, the authors proposed our country should speed up the steel industry upgrading and other industrial structure adjustment, so as to serve the nation whole strategic policy Suggestions.According to the subprime crisis overview and by the subprime crisis triggered international financial crisis on China’s closing price fluctuation of eight industry contagion empirical analysis,puts forward the crisis their inspiration to China, including the macro control of enlightenment, on our financial innovation of our country recommendations and the enlightenment of the residents’ consumption concept.

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