Analysis on Spillover Effect of Share Price and Volatility

With TGARCH model, this paper empirically examines the spillover effect of price and volatility among the two markets using sample of 18 dually-listed stocks' daily data from mainland and Hong Kong Stock Exchanges. We get the conclusion as follows: Return of half dually-listed A shares are in line with the Hong Kong market and the opposite influences are different due to different stocks; spillover effect exists among the two markets, the volatility of Hong Kong market is influenced by the mainland market more obviously than Hong Kong market to mainland market; information asymmetry is obvious among the two markets; good information has a leverage effect, and good information of A share market hasa more notable effect to Hong Kong market in volatility effect than Hong Kong to A share market.