Before the splitting share reform, China’s ownership structure is very complex. Although equity division in early days of China’s securities market has played a positive role, along with the process of our country’s economic system, the system of non-tradable shares shows its defects. Splitting share reform has a positive effect on the mainland stock market.Using samples of three stock market indexes during1995to2012,1build a VECM-GARCH-BEKK model to test the change of volatility spillovers between three stock markets. And if there’re volatility spillover and leadership between stock markets, it can play a guiding role to regulators and investors. So it has great theoretical and practical significance to risk prevention of Chinese mainland market.And the conclusion of the empirical research is:there’s a significant volatility spillover from US and HK markets to Shanghai market, and the significance level of spillovers is increasing. On the contrary, there’s almost no significant volatility spillover from Shanghai market to the other market in the entire sample period. But within the period such spillover represents an rising trend.In the end of the paper, aiming at the result of the model, I put forward the corresponding policy recommendations. |