Dynamic Spillover Effects between the US Stock Volatility and China’s Stock Market Crash Risk: A TVP-VAR Approach

Due to the increasing linkage of China and US stock markets today, we constructed a TVP-VAR model study dynamic spillover effects between volatility China’s market crash risk. We found are constantly strengthening risk: when increases, risk increases. In addition, gradual improvement financial openness in China, short-term capital outflow from depreciation RMB exchange rate will increase And, impacts more significant. Further, lead decline volatility, which may be due flight quality.