A Comparative Study On The Volatility Of Shanghai And Shenzhen 300 Index And HangSeng Index Based On GARCH Family Model

The volatility characteristic of stock market is one of the most common characteristics of stock market,and many scholars at home and abroad have made many studies on its volatility.Among them,the agglomeration effect and leverage effect of stock market fluctuation are the most studied.Since the opening of the mainland stock market,although the duration of the Hong Kong market is shorter than the duration of the Hong Kong market,the academic community has been closely concerned about the volatility of the mainland stock market,and there is a certain gap between the mainland stock market and the Hong Kong stock market.Therefore,in different economic cycles,through the CSI 300 index and Hong Kong Hang Seng index fluctuations of the agglomeration effect and leverage effect,we can further understand the mainland and the gap between Hong Kong stock market,so as to better promote the healthy and reasonable development of China's financial market.This paper selects the closing prices of the CSI 300 Index and the Hang Seng Index from April 8,2005 to August 15,2019,divides them into three stages according to the recognized economic cycle division at home and abroad and calculates the daily yield rate by using the calculation method of logarithmic yield rate.A descriptive statistical method is used to analyze the yield rate of these two indexes,and then the volatility agglomeration effect of the yield and the leverage effect of the fluctuation are analyzed by using the GARCH family model.Finally,the comparison is made in stages,and the following conclusions are obtained:(1)In different stages of the economic cycle,the average yield of the CSI 300 index and the Hang Seng index is close to 0,and fluctuates slightly around it;(2)The distribution of the index return sequence at each stage of the economic cycle is not normal and has the characteristics of peaks and thick tails,but in different stages of the economic cycle,it has the characteristics of stage;(3)Throughout the economic cycle,both the mainland stock market and the Hong Kong stock market have significant volatility agglomeration effects,and the Mainland stock market is more vulnerable than the Hong Kong stock market in responding to market shocks.In addition,the CSI 300 index and the Hang Seng index have anti-leverage effect,but the effect is different in different stages,indicating thestage characteristics of the stock market;(4)At each stage of the economic cycle,the Hang Seng Index has a stronger leverage effect than the CSI 300 Index,which reflects the maturity of the Hong Kong stock market and shows that there is still a certain gap between the mainland stock market and the Hong Kong stock market in some respects.Therefore,in view of the above gap between the mainland and Hong Kong stock market,the relevant departments of the securities market need to formulate corresponding policies in time to gradually improve the mainland stock market.