Volatility Spillover Empirical Research Between The Mainland And Hong Kong Stock Market Based On The Realized Volatility

With the rapid development of economy and advancement of technology,the world shows the trend of economic globalization and financial liberalization.Financial liberalization,while promoting economic development,also exacerbated the volatility of financial market.Volatility is used to measure the uncertainty of return on assets,it plays an important role in the stock market.With the implementation of opening up policy,bridge in Hong Kong as the mainland stock market to contact the outside world,both contact increasingly.Based on the realized volatility modeling,which can make full use of the trading information,study on volatility spillover between the Hong Kong and mainland,can make full understand of the linkage between the stock market and the direction of the information transmission,it's important for investors,policy makers and governmental monitoring department.The article select the five minutes intraday transaction data of the CSI 300 index and the Hang Seng index as the object,Sample interval for November 13,2008 to December 31,2015,and analysis on the volatility spillover and the influencing factors between the markets.First,using the Granger causality test,from the perspective of linear studying the volatility spillover;Secondly,introduce the realized volatility to the DCC-GARCH model,build the DCC-RV-GARCH model,from the perspective of nonlinear studying the volatility spillover;Finally,build HAR-DL model,to analyze the impact of the mean and conditional heteroscedasticity volatility of the volatility spillover.Through the descriptive analysis of the two stock index,we found both realized volatility exist fluctuated aggregation,and have the characteristic of sharp peak and heavy tail.While the logarithm of realized volatility is approximately close to normal distribution,and has better statistical characteristics.At the same time,the different forms of realized volatility have a strong autocorrelation,which has a long memory.Granger causality test showed the two-way volatility spillover between the CSI 300 index and the Hang Seng index.From the perspective of nonlinear,DCC-RV-GARCH model show the conditional volatility is highly persistent and strong correlation,namely the existence of the volatility spillover.By the HAR-DL model,we found that the mean of realized volatility less impact on the volatility spillover,while the conditional heteroscedasticity volatility of volatility have bigger influence on the volatility spillover.The main stock market and the Hong Kong stock market exist volatility spillover,since the close economic and trade exchanges between the two markets.Due to the volatility spillover between markets,The investor should make a more rational investment strategy,avoid blind investment;The government departments in formulating relevant policies,should take the two stock markets into account and at the right time to launch the appropriate policy;The risk supervision department should strengthen the supervision the risk of the local market,improve relevant laws and regulations,at the same time,should strengthen the supervision cooperation,and create a favorable financial environment for both the stable development of the stock markets.