Abstract: Information spillovers and interactive effects among financial sub-market cycle fluctuations are important channels for financial risk transmission. On the basis of comparing the cyclical operating trends and volatility characteristics of six major financial sub-markets, including credit, bonds, stocks, currencies, foreign exchange, and real estate, the present study employed the directed acyclic graph (DAG) method to examine the concurrent causality among financial sub-market fluctuations, and exploited the dynamic spillover index model based on generalized forecast error variance decomposition to test empirically the dynamics of interaction among financial sub-markets. The research shows that there exist great differences in the financial sub-market cycle fluctuations in China. Among them, the stock market has significant long-expansion and short-shrinkage fluctuation characteristics, while the real estate, credit, and bond markets exhibit long-shrinkage and short-expansion fluctuation posture. Both causality and interaction dynamics among financial sub-market fluctuation show time-varying or phased differences. In the recent years, the spillover effects of the cycle fluctuations of other sub-markets in the credit market, stock market and real estate market have been significantly enhanced.

KeyWords: financial sub-market; financial cycle fluctuation; synchronic causality; directed acyclic graph; dynamic spillover index