Cross correlation， feedback trading and spill over effect between China and Hong Kong stock market
經濟研究
作者：李瑜菲
【Abstract】My research is targeted to analyze the returns of two stock market indices （China， Hong Kong） to examine the autocorrelation of each stock market， the cross-correlation and positive feedback trading between the two markets. The research generates conditional volatility of market return， conditional autocorrelation between current and lag-one market returns. Further， The study introduces GARCH-M model to analyze the corresponding conditional volatility， the characteristics of volatility spillovers and feedback trading of the two markets. At last， I separate the statistics into two groups， before and after the financial crisis in 2007 to examine the correlation and feedback trading effect separately.
【Key word】Stock market， autocorrelation， cross Correlation
ⅠBackground
As the world largest new stocks market， China Stock Market has greatly impacted the global stock markets volatility. China and Hong Kong stock markets have been revealed to present a close correlation over a period of historical time. Whether the two markets exist autocorrelation and cross-correlation？ Whether the two markets present volatility spillover effect and positive feedback trading behavior？ How about the integration degree of the two stocks market？ All of these issues will be discussed and analyzed in this paper in order to solve the real world problem.
ⅡModel Hypothesis