沪港通对大陆、香港股票市场波动溢出的影响研究——基于沪深300指数、恒生指数高频数据

Shanghai-Hong Kong Stock Connect Program's Impact on the Volatility Spillover of Mainland and Hong Kong Stock Market——Based on High-frequency data of CSI 300 and HSI

采用沪深300指数和恒生指数高频数据,利用Barndorff-Nielsen的波动率分解模型、平稳性检验、Granger因果检验和VEC模型研究沪港通对大陆、香港股票市场波动溢出的影响。研究发现:沪港通之前,只存在香港股票市场整体波动、连续波动和跳跃波动对大陆股票市场连续波动的单向溢出;沪港通之后,存在大陆股票市场整体波动、跳跃波动对香港股票市场连续波动的单向溢出,且存在大陆股票市场连续波动和香港股票市场连续波动的双向溢出。

Regarding the limitation of traditional GARCH model,SV model and imperfections of ARJI-Trend model,this article adopts Barndorff-Nielsen's volatility decomposition model,Stationary test,Granger causality test and VEC model to investigate the impact that the Shanghai-Hong Kong Stock Conncet Program has on the volatility spillover of Hong Kong stock market and Mainland stock market based on high-frequency data of CSI 300 and HSI. The result shows that before the Connect Program,there was a one-way spillover,that is,the overall volatility,continuously volatility and jumping volatility of Hong Kong stock market influnecing the continuously volatility of Mainland stock market; while after the Program,there is a one-way spillover that the overall volatility and the jumping volatility of Mainland stock market influencing the continuously volatility of Hong Kong stock market;what's more,there is a two-way spillover of continuously volatility between Mainland stock market and Hong Kong stock market.