An Empirical Study On The Spillover Effect Between Shanghai Hong Kong And Shenzhen Stock Markets

In the wave of economic globalization,the process of financial market integration is generally ahead of other markets.The interactive relationship between the regional financial markets gradually increased.Coupled with the rapid development of modern information technology,Individual financial markets are more frequently affected by other financial markets through information approach.Manifested as the influence of the change between the indices,known as the spillover effect.Including the effect of exponential spillover effect and volatility spillover effect.The spillover effect reflects the effectiveness of capital market to absorb information,and it may also transmit and amplify local financial risks and even evolve into a global financial crisis.With the improvement of the opening degree of China's stock market,the ability to resist the risk of other financial markets has not improved accordingly.Hong Kong as an international financial center is a more mature market,but its economic base market is small,and the Shanghai and Shenzhen stock markets are very strong complementarity.While the Shanghai and Shenzhen stock markets in the initial establishment of the functional positioning of the huge differences.Therefore,the study of spillover effect between Shanghai and Hong Kong stock market has great reference value to the healthy development of Chinese stock market.Based on the existingliterature research,thispaper uses the ternary VAR-GARCH-BEKK model to select the time-sensitive sample time,and analyzes the exponential spillover effect and the fluctuation spillover effect between the Hong Kong and Shenzhen stock markets.The first check the spillover effect exists,and the economic significance is analyzed.Then,the sample data are divided into two stages according to important events.The change characteristics of spillover effect are analyzed in stages.Finally,the main channel of spillover effect is pointed out.The first chapter is the introduction,which mainly includes the background of this study,the practical significance and literature review Domestic and abroad.The second chapter is the theoretical basis of spillover effect.The third chapter mainly builds the model and analyzes the exponential spillover effect in stages.In chapter 4,the GARCH-BEKK model is used to analyze the magnitude and direction of the fluctuating effect.Chapter 5explains the channels of spillover effects between Shanghai and Hong Kong.Chapter 6is the conclusion of this paper and the policy recommendations based on the results of the study.This paper draws the following conclusions:(1)The spillover effect exist between Shanghai?Shenzhen and HongKong stock markets,and the influence of Hong Kong stocks is the largest,and the impact of Shenzhen stock market is the weakest.(2)The Hongkong stock market has a high efficiency in absorbing new information,and it is stable to other markets.The stability of Shenzhen stock market is the weakest in the three stock markets.(3)There is a bidirectional volatility spillover effect between Shanghai and Hong Kong stock market and the Shanghai and Shenzhen stock markets,there is only a unidirectional spillover effect of Hongkong to Shenzhen.With the introduction of Shanghai and Hong Kong?Shenzhen Hong Kong stock markets trading interconnection mechanism and other series of policies,the interaction between the three markets has a tendency to strengthen.