Abstract: China's financial market is facing a transformation from partial opening to comprehensive one. The continuous promotion of financial openness is not only necessary for the healthy development of the financial industry itself and the continuous deepening of financial supply side structural reform, but also an inherent requirement for achieving high-quality economic development. The continuous promotion of financial openness helps to enhance the breadth and depth of the financial market, promote efficient allocation of global capital, and enhance financial discourse power. But the impact of external risks brought about by financial openness on a country's economic and financial stability and security has become increasingly prominent. How to effectively resolve external financial risks, clarify risk information transmission mechanisms, and prevent financial risk transmission is of great significance for ensuring the stable development of the capital market, facing global competition in resource allocation, continuously promoting high-level financial openness, and helping China's economic rise.
The research objective is to analyze the risk spillovers between capital markets deeply and resolve the external financial risks timely. On the basis of fully considering the intermediary role of the Hong Kong stock market in risk spillover between the Chinese and American stock markets, the daily data of major stock indices in the Chinese and American stock markets from January 1, 2007 to December 30, 2020 is used to construct risk spillover index based on the TVP-VAR model firstly. The static risk spillover coefficient is used to analyze the risk spillover relationship between different markets. Secondly, considering the financial markets themselves and their interrelationships are constantly changing in reality, the dynamic risk spillover coefficient is used to study the interrelationships between different financial markets in different periods. Once again, in order to analyze the risk spillover and acceptance relationship in different periods of each market deeply, the total net risk spillover coefficient of each market and the net bidirectional risk spillover coefficient between markets are constructed and analyzed. Finally, in order to deeply analyze the causal relationship between dynamic spillover effects in various markets, based on the analysis of dynamic spillover effects in various stock markets, Granger causality tests are used to further explore the Granger causal relationship between dynamic spillover effects in various markets.
The research conclusions show that: (1)there is a strong correlation between markets. The risk spillover within the market is generally higher than that between markets, and the risk spillover of the U.S. stock market to the A-share market is usually larger in the crisis period; (2)there is a large risk spillover between the stock markets in 2011 and 2018. A-share had risk spillover to the three major U.S. stock indexes in 2015 and 2018, while in other periods, the three major U.S. stock indexes were mainly risk spillover to others; (3)the Granger causality test shows that under the significance of 5%, except the SPX and IXIC, the dynamic net spillover effects of the one markets are Granger causality of each other; (4) the Granger causality test shows that with the implementation of policies such as the Shenzhen-HK Stock Connect, Shanghai-HK Stock Connect, and Mutual Fund Connect, the internationalization level of the A-share market is gradually improving, and it has the ability to partially influence stock markets such as Hong Kong, but this influence is more regional.
In response to the conclusions, this paper suggests that: (1)In the future, we should further increase the efforts of financial market reform and opening up, clarify the status and role of China's stock market in the international stock market, and enhance the internationalization level of the financial market and the independence of China's stock market situation. (2)With the continuous improvement of economic globalization, local financial risks will evolve into global financial crises through economic and trade activities, which requires governments to have a global, forward-looking and coordinated approach when formulating economic policies, and to strengthen cooperation between governments and regulatory authorities.

Key words: financial internationalization, risk spillover among capital markets, TVP-VAR model, Granger causality test

摘要： 为深入分析资本市场风险溢出,及时化解金融外源性风险。本文选取2007年1月1日—2020年12月30日中美股票市场主要股指的日度数据,首先基于TVP-VAR模型构建溢出指数研究金融市场之间的风险溢出效应,然后利用Granger因果检验分析动态溢出效应的Granger因果关系,探寻各股票市场变动的Granger原因。研究表明:(1)各市场之间具有较强的关联性,内部风险溢出普遍高于市场间风险溢出,危机时期美股对A股市场的风险溢出较大;(2)2011年与2018年各股票市场之间风险溢出较大,其中2015年和2018年A股为主要的风险溢出方,其他时间内美三大股指为主要风险溢出方;(3)在5%的显著性下,除SPX和IXIC之间的动态净溢出效应不存在Granger因果关系之外,其他各市场动态净溢出效应均互为Granger原因。

关键词: 金融国际化, 资本市场风险溢出, TVP-VAR模型, 格兰杰因果检验