An Empirical Research On Volatility And Spillovers Effect Among Shanghai,Shenzhen And Hong Kong Stock Markets Based On The MRS-GARCH Models

The volatility of the stock market is the most essential features and basic properties,it is also the reason of attracting investors to the stock.Due to fluctuations in stock prices,the stock market played an important role in resource allocation.A stock market without volatility is worthless to invest.A developed stock market should have reasonable volatility.Since its establishment in 1990,Chinese stock market only developed for two decades,but it was developing rapidly.However,compared to the stock market in the developed capitalist countries,there are still many deficiencies.Chinese stock market is being in a period of "rising and transition".Meanwhile,the trends of Chinese stock market deviate from the economic trends,which make the stock market vulnerable to the impact of policies.For those reasons above,the volatility of Chinese stock market is larger compared to other countries.Therefore,research on the stock market volatility will help to control investment risks and promote the development of the stock market.In this paper,we study the volatility in Shanghai,Shenzhen and Hong Kong stock markets.And we also study the volatility spillovers between those three stock markets.We research the volatility from the perspective of multi-state,and then draw a conclusion with some reasonable proposals.According to the estimation of MRS-GARCH model,this paper draws some conclusions.Firstly,Shanghai,Shenzhen and Hong Kong have multi-state volatility in their stock markets.When they are impacted by financial crisis,they will get into the high-volatility state.Secondly,those three stock markets have significant persistence in their volatility.Thirdly,those stock markets have volatility spillover effect,especially the one between Shanghai and Shenzhen.The spillovers effect is enhanced after the Shanghai-Hong Kong Stock Connect program started...