| Increased degree of economic integration between The mainland and Hong Kong makes the link between the two capital markets become more closely , thereby heightening the risk of transmission level between the two market. how to the prevent risks , avoid risks have become investors and policy makers concerned the issue. In this context , this paper analyze dynamic correlation and the transmission mechanism between Shang hai and Hong Kong stock markets and characteristics of volatility.we analyze the return volatility of shang hai and hong kong stock markets by employing TARCH and EGARCH model andFind the impact of bad news to future volatility is greater than that Of good news of the same magnitude in both shang hai and hong kong stock Market, but leverage effect of hong hong is strong than that of shang hai. In addition, Faced with the same level of quality of the news, Shanghai stock market reaction is stronger the Hong Kong strock market. Hypothesis Test result shows that EGARCH model fit shang hai and hong kong stock Market best , news impact curves also reflects the above result. then,the Study adopts an EGARCH model that allows for a dynamic correlation (DCC-EGARCH-VAR) to investigate the information transmission and dynamic Correlation between shang hai and hong kong stock markets. By analying Mean spillover effect and volatility spillover effect between shang hai And hong kong markets ,we find that there exist significant mean spillover From hong kong stock to shang hai stock market ,but have no significant Mean spillover from shang hai stock to hong kong stock. There is no volatility spillover between shang hai and hong kong stock markets,this Means that there exist only the unilateral information transmission from Hong kong stock market to hong kong market. By analying dynamic correlation Between shang hai and hong kong stock we find that since 2003,the linkages Between shang hai and hong kong stock markets became more close.this means Market segmentation is decreaing gradually. |
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