Spillover Effects of Global Stock Markets: An Empirical Analysis after Financial Crisis

Eight years passed since 2008 financial crisis. There exist continuous uncertainty and instability economic entities in international markets. The inquiry of spillover effects and transmission mechanism among stock markets worldwide is of significant theoretical value. This paper displays contrast analysis of fluctuation spillovers of stock markets among China, America, Europe, and Japan. Oil price is a nonnegligible addictive equity markets uncertainty factor. The empirical results show that the fluctuation spillovers among entities have not mitigated at all compared to the crisis period of 2008 to 2010. Risk outflow due to the instability of macro fundamental factors aggregates turbulence, thus risk interconnection is more statistical significant. Result also shows that China has more spillover effects towards other markets since facing economy downward pressure. The central role of US equity market is descending; it absorbs more risk from international instability than pre-crisis period.