TY - JOUR ID - 21805 TI - Effect of the Shenzhen-Hong Kong stock connect mechanism on stock market volatility JO - Scientia Iranica JA - SCI LA - en SN - 1026-3098 AU - Wang, C. AU - Rao, C. AU - Meng, Y. AU - Sun, X. AD - School of Mathematics and Economics, Hubei University of Education, Wuhan 430205, P. R. China AD - School of Science, Wuhan University of Technology, Wuhan 430070, P. R. China AD - School of Mathematics and Statistics, Huanggang Normal University, Huanggang 438000, P. R. China Y1 - 2022 PY - 2022 VL - 29 IS - 1 SP - 372 EP - 386 KW - Applied statistics KW - Economic time series analysis KW - SHSC mechanism KW - Volatility KW - GARCH model KW - EGARCH model DO - 10.24200/sci.2020.53696.3370 N2 - The implementation of the Shenzhen-Hong Kong Stock Connect (SHSC) mechanism has realized the largest two-way opening of China's capital market, but also increased the transmission of risks. In order to analyze the impact of SHSC on the volatility of single market in Shenzhen or Hong Kong, this paper establishes the volatility models of stock markets in Shenzhen and Hong Kong based on the GARCH-type models with different perturbation terms. The pre-applicable test is made and the result shows that the return rate series of Shenzhen and Hong Kong stock markets are stable and heteroscedastic, and they meet the conditions of establishing the GARCH-type models. Then, the GARCH model and EGARCH model are established to analyze the volatility of stock markets in Shenzhen and Hong Kong respectively. The results show that the opening of SHSC has increased the short-term volatility of the stock markets in Shenzhen and Hong Kong and improved the efficiency of information transmission between these two stock markets. Moreover, influenced by SHSC, the leverage effect of Shenzhen stock market is increasing, while that of Hong Kong stock market is decreasing. UR - https://scientiairanica.sharif.edu/article_21805.html L1 - https://scientiairanica.sharif.edu/article_21805_3d283efcf90639f60b1b5ac7afe53b62.pdf ER -