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

摘要

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.