Volatility spillover effects between shang hai and hong kong stock markets.

Abstract: The research on volatility spillover effects between many stock markets is an important subject of finance in recent years. This paper investigates the volatility spillover between the stock markets in Shanghai and Hong Kong. Granger causality model and GARCH (1, 1)-in-mean model are adopted to test and analyze the relevance of the return and volatility between the two markets. The empirical results suggest that Hong Kong equity market has one-way significant effects on Shanghai stock market after the reform of the shareholder structure of listed companies. [Copyright &y& Elsevier]