Abstract: During the 2015 stock market crisis, China′s regulators have implemented a series of regulatory measures for the capital markets, which affect the pricing efficiency of China′s stock markets, and the spillover effects of U.S. stock markets on China stock markets. Based on SVAR model, Dynamic Granger Causality Test and quantile regression, the paper analyzes the influence of the 2015 stock market crisis on information spillover effects between China and U.S. stock markets. Empirical conclusions are as follows: the U.S. stock markets dominates in the process of information transmission between China and U.S. stock markets, and the spillover effects of U.S. stock markets on China stock markets tend to enhance significantly after the 2015 stock market crisis, especially in the down market. Among them, the contemporaneous and asynchronous spillovers effects are both of a one-way interaction, China stock market overnight return influenced by U.S. stock markets daytime return is reflected as a V curve by using quantile regression model, and the impact of the negative impact from the stock markets in U.S. on that in China in a bear market has become greater after the 2015 stock market crisis. Our regulatory authorities and investors cannot ignore the linkage between the U.S. stock markets and the domestic markets. The policy makers should optimize the structure of the market investors, promote the openness of the capital market, and improve the pricing efficiency of China stock markets.

Key words: stock market crisis, spillover effects, Dynamic Granger Causality Test, quantile regression