This paper constructs a capital market financial stress index by selecting indicators from four markets,including the stock market,bond market,derivative market,and foreign exchange market to measure systemic risks in China's capital market dynamically.On this basis,we investigate the cross-market risk spillover effect among the four sub-markets from both time domain and frequency domain perspectives.The research results are summarized as follows.(1)The capital market stress index constructed in this paper can accurately identify major risk events within the sample period.(2)Extreme shocks lead to an increase in risk spillover levels,and the roles played by each sub-market in risk spillover are different and time-varying.(3)Based on the magnitude,direction,and short-term and long-term structure of risk spillover,we can effectively identify the dynamic evolution process and driving factors of systemic risks.The research has important value for improving the dynamic monitoring system of capital market risks.
systemic riskscapital market financial stress indexcross-market risk spillovertime domain and frequency domain
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