A Study on the Risks Overflow of Financial Markets Based on Wishart Test
Zhang Shi-ying · Tongji yu xinxi luntan · 2008
As two financial stock markets are considered as effective financial markets,it is possible to test the lagged correlation coefficients by using Wishart Test to measure the risk overflow period and the risk overflow strength.The results of actual test show that there is risk overflow between the shanghai stock market and Shenzhen stock market in approximately 3 minutes and,in particular,the strength of risk spillover from shanghai stock market to Shenzhen stock market is declining more slowly than the strength of risk overflow from Shenzhen to shanghai.So,it is concluded that the Shanghai stock market has more effect power than Shenzhen.The above conclusion are accord with the actual situation.