Research of the Spillover Effects Between Sino-US Financial Markets Before and After the Financial Crisis

The VAR-GARCH-ECCC model was employed to research the return and volatility spillover effects between Sino-US financial markets. The Shanghai composite index, S&P 500 index and U.S. dollar index were selected to study the relationship between the two periods-before and after the financial crisis. The results show that, compared with that before the financial crisis, the return spillover effects are significant after the crisis, that is, there are bidirectional return spillover between Shanghai composite index and S&P 500 index, and directional return spillover from U.S. dollar index to Shanghai composite index. Although the volatility spillover effects between three markets are not significant, the constant correlation coefficients are strengthened remarkably.