香港、台湾及沪深股票市场的波动溢出效应分析-analysis of volatility spillover effects in hong kong, taiwan and shanghai and shenzhen stock markets.docxVIP

Ab Abstract II II Abstract Volatility spillovers between stock markets means a stock market volatility is not only affected by fluctuations in their history, but also heavily influenced by other stock market volatility. For the volatility spillover effect, not only by the impact from the macro level such as capital internationalization, financial liberalization and other factors, but also by the impact of such as from the microscopic behavior financial theory of heuristic bias, conformity psychology and other factors. Existing research on stock market volatility spillovers, the mainly focused on inter-developed capital markets, both emerging markets and the Greater China stock market had been few researched. However, with the deepening of the economic transactions between Hong Kong, Taiwan and the mainland, as well as financial liberalization sweeping the globe and information to accelerate .Hong Kong, Taiwan and Shanghai and Shenzhen stock markets also increasingly obvious synergy. Thus the study of Volatility spillovers between Hong Kong, Taiwan ,Shanghai and Shenzhen stock markets, can grasp the direction and volatility conduction path between the stock market and thus to guide investors to portfolio optimization in the Greater China ,and government related can regulation the Financial and securities markets. This paper adopted the two yuan BEKK-GARCH model which widely used to the volatility spillover effect in the field. make the outbreak of the financial crisis as the time node, comparatively studying of Hong Kong stock market, Taiwan stock market and Shenzhen stock market whether there are any the volatility spillover effect changes before and after the outbreak of the financial crisis. The study found that before the financial crisis, the volatility spillover effects from Hong Kong stock market to Taiwan, Shanghai and Shenzhen stock markets had really exist, but there is no significant volatility spillovers between the Taiwan stock market and the Shanghai an