A Study On The Volatility Spillover Effect Of A Shares And Hong Kong Stocks In The Context Of Shanghai And Hong Kong

The volatility of asset returns in a financial market is called spillover effect,and this fluctuation is not related to the previous situation.The specific division is the income overflow,and the other is the fluctuation overflow.With the rapid development of China's financial liberalization and the advancement of reform,Hong Kong and inland whether or business transactions in securities investment aspects are more frequent close and accelerate the spread of information related to trade.The shanghai-hong kong stock connect system has been implemented since November 2014,and the volatility spillover effects of the two markets will undoubtedly be affected.In this paper,through A large number of studying literature at home and abroad,and discusses the theoretical and empirical analysis,is the Shanghai composite index and hang seng index of sample selection,the purpose is to study port of Hong Kong and Shanghai A shares the impact of the volatility spillover effect.In theoretical research stage,the paper describes the A shares and Hong Kong respective volatility spillover effect,and then expounds the a-shares and Hong Kong between the volatility spillover effect of each other,elaborated the contact of the mainland and Hong Kong stock market factors.Subsequent empirical research,the conclusion is Hong Kong through opening after the Shanghai composite index and the volatility spillover effect between Hong Kong's hang seng is higher than before opening,the Shanghai port access system after Hong Kong and the mainland stock market relevance.Finally,according to the conclusions,the policy makers and regulators give corresponding Suggestions.