The Risk Linkage Effects of Stock Indexes Based on Quantile Regression and Granger Causality Test

The scholars have paid extensive attention to the risk of fluctuations in the stock market after the financial crisis, and their main method of risk management is still VaR(Value at Risk). On the basis of traditional methods, this article innovative uses the quantile regression methods to calculate the VaR value in the major indexes of the four global securities markets, the Shanghai Composite Index, the Nikkei index, the British FTSE index and the U.S. Dow Jones Industrial average index, and based on the results of quantile regression, the article uses the Granger causality test to examine risk linkage effects of these four indexes, the results show that: the risk of China-US securities market linkage effect is not obvious.