| This paper aims to study the efficiency, the risk and the risk delivery between the Shanghai-Shenzhen industry index market and Hang Seng composite industry index market. Considering the accuracy and availability of the data, this paper chooses the daily data from Sep 15th 2006 and April 30th 2010 in the Shanghai-Shenzhen industry index market and the daily data from Nov 15th 2007 and Mar 5th 2010 in the Hang Seng composite industry index market.Meanwhile, in order to compare the risk in the two indexes market before and after the financial crisis, this paper chooses the time Sep 16th 2008 as the day, on which the financial crisis began. Through comparing the fractal structure, risk degree and the collaboration effect between the Shanghai-Shenzhen industry index market and Hang Seng composite industry, this paper used the Hurst index,the risk assessment index and the related parameters of the STR model and got the following conclusions.First, the risk endurance has become weak after the financial crisis;Second, the risk depth and width have become larger after the financial crisis. Third, the risk in the Hang Seng composite industry index market is larger than that in the Shanghai-Shenzhen industry index market before or after the financial crisis.Fourth, there is the same "up or down" phenomena in the two index markets.Fifth, there has the nonlinear relation both the different index in the index market and the same index in the different market. Sixth, after the financial crisis, the relation of all indexes has become stronger. So, in the process of reforming the stock market firstly we must combine the efficiency and risk and observe the trend of the Hang Seng index market, improving the predicted capability of the Shanghai-Shenzhen index market. Secondly, we should emphasize the collaboration effect between the Shanghai-Shenzhen industry index market and Hang Seng composite industry, especially the nonlinear relation. |
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