Analysis of the Stock Market Volatility and Its Spillover Effect in China

摘要

Employing Shanghai composite index and Shenzhen composite index as research samples, this paper is concerned with the analysis of the volatility of Shanghai and Shenzhen market and the volatility spillover effect. It is concluded that the shock of previous news causes a lasting impact on current volatility in both markets, the spillover effects is one-way from Shanghai to Shenzhen. The innovation of this paper mainly reflects in: research sample selections are both new and valuable; the traditional model was modified to analyze the fluctuations between Shanghai and Shenzhen and the two markets' spillover effect; According to the empirical results the author gives reasonable explanations, conclusions and corresponding suggestions based on this situation.