Spillover effect between Shanghai, Shenzhen and Hong Kong stock market: A comparative analysis based on “Through train of Hong Kong stock”

Focusing on whether “Through train of Hong Kong stock” has a significant impact on return and volatility spillover relationship between Hong Kong, Shanghai and Shenzhen stock market, this paper applies the VAR and Multiple GARCH model to the research based on the three stock markets data. The evidence shows that no return spillover effect exits between Hong Kong stock market and Shanghai or Shenzhen stock markets before the announcement of “Through train of Hong Kong stock”, while there is a one-way volatility spillover effect. Additionally, one-way return and two-way volatility spillover effect exist between Hong Kong and Shanghai stock market but one-way return and volatility spillover effects between Hong Kong and Shenzhen stock market after the announcement of “Through train of Hong Kong stock”.