The Research On Volatility Spillover Effect To A+H Cross-listed Stocks In China

The stock market is an important part of the financial market. With the global economy integration deepens, stock index, as the leading economic indicators in recent years, and have also showed the linkage trend. Especially during the financial crisis in 2007, Chinese stock market is showing the strong linkage with the global stock markets. Thus, financial risk may transfer between the financial markets, namely the volatility spillovers existed. Research on how to manage the market risk effectively is significant for the stability of our financial markets, but also has become a major challenge for the Chinese financial institutions.In recent years, the use of GARCH model for the research of financial market is a popular method, with other relative researches emerged also. From the study of Hong Kong Hang Seng AHA and AHH index of cross-listed stock in mainland and Hong Kong, using binary BEKK-GARCH model to test the volatility spillover effect between the Chinese and Hong Kong Hang Seng stock market, to explore the linkage law of the index among these two stock markets.The regulatory authorities, companies and investors may find inspiration from the conclusions of this study. Accurate assessment of the risks of each market can help manage the stock market more effectively.