New Character of the Risk Contagion between Stock A Market and Stock H Market——An Empirical Analysis on the Co-listed Company
Based on the MGARCH model,this paper explores the risk contagion regarding the stocks co-listed in the A share market and H share market,showing some different results.The evidence presents that,after non-tradable share reform was basically completed,new character of risk contagion of co-listed stocks has risen.The direction is that the risk spillover effect is from A shares to H shares but not from H shares to A shares.