A Study On The Fluctuation Of Chinese And Foreign Stock Market Volatility Before And After The Shanghai-HongKong Stock Connect Program

It is of great significance to study the linkage effect between China's capital market and American capital market in the new period,which is helpful to the development of national financial policy and capital market opening.As an important part of the financial market,the volatility of the capital market will be transmitted to other economic sectors through various channels,to understand the volatility spillovers between international capital markets,protect their capital markets,and reduce their adverse impact from the international market,and be helpful to maintain their own the economy free from turbulence.In this paper,the Shanghai and Shenzhen 300 index,the Hang Seng Index and the S&P 500 index were selected as the sample data,from September 2011 to September 2016 is the segmentation time.Through the construction of the multiple stochastic volatility model,The volatility spillover effects between the US stock market,the Hong Kong stock market and the Chinese mainland stock market before and after the start of the two sample periods were tested.Research and analysis does the China's stock market become more active in new era in the context of Shanghai-HongKong Stock Connect program.SV model is one of the main tools to describe the fluctuation spillover effect.SV model has a significant advantage for GARCH model,that is,SV model can more clearly describe the correlation between volatility and heteroskedasticity in Shanghai and Shenzhen stock market and SV Family model adds stochastic perturbation items to the model,and its design and construction are more reasonable than the real financial market and financial data characteristics.However,due to parameter estimation of SV model is relatively difficult and rare in the literature.With the rapid development of computer technology,the use of MCMC method combined with WinBUGS software to solve the SV class model parameter estimation difficult problem.In this paper,the GC-MSV model is used to analyze the model,and the model parameters are estimated by using the MCMC algorithm based on Gibbs sampling and WinBUGS software.The central topic of this thesis is to study the fluctuation spillovers of stock market by means of modern volatility modeling theory and measurement method.Select December 17,2014,which is the time Shanghai-HongKong Stock Connect program start,as a time cut point,the empirical results show that: before the time point,Hong Kong and the US stock market on the Chinese mainland stock market exist a one-way volatility spillover effect;The mainland China has a one-way volatility spillover effect on Hong Kong's stock market.From the whole sample range,the mainland China stock market has no fluctuation spillover effect on the US stock market,but it is found that the Granger causality coefficient is larger,So that the mainland China stock market on the impact of the US stock market is increasing.At the same time in the entire sample range,the United States,China Hong Kong stock market there is always between the two-way fluctuations in the spillover effect and continue to strengthen.In general,mainland China stock market and Hong Kong,the US stock market more closely,the mainland China stock market more aggressive than ever,the influence of the external stock market is increasing.