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Indexed by:会议论文

Date of Publication:2016-01-01

Included Journals:CPCI-SSH

Page Number:233-238

Key Words:financial risk; financial stress index; Mainland; Hong Kong

Abstract:To explore the potential contagion and spillover effect between the financial system of Mainland China and Hong Kong, this paper constructs the financial stress index describing financial risk conditions in Mainland and Hong Kong, then sets up a VAR to study whether there is risk transmission between the two markets or not. The results indicate that the a Mainland financial shock accounts for partly variation in Hong Kong FSI and Hong Kong financial stress can cause Mainland financial instability.