Abstract: This paper decomposes the volatility of the Chinese A share and H share into three components: long-run volatility, short-run volatility and jump volatility by ARJI-Trend model, respectively. The paper uses the indices yield data from A share and H share from December 2003 to December 2010, and finds that both markets have long-run volatilities with highly persistence. The short-run volatility on H share and the jump volatility on A share take up a large proportion of the market risk, respectively. Moreover, there are two-ways spillover of the short-run volatility between two markets and one-way spillover of long-run volatility from A share to H share. Additionally, investors are heterogeneous between the two markets on the prediction of rare events. The investors can borrow these results to construct portfolio strategies.

摘要： 本文首次引入ARJI-Trend模型，识别出中国A股与中国香港H股的波动结构成份：长期波动、短期波动和跳跃波动。在此基础上，比较研究两个市场波动结构的差异性及风险溢出成份。本文利用2003年12月至2010年12月A股和H股的指数收益率数据，研究发现两个市场都存在高度持续性的长期波动，H股的短期波动和A股的跳跃波动各在自身总波动中占有较大的比重，且两个市场间存在双向的短期波动溢出及A股对H股的单向长期波动溢出，另外，两个市场的投资者对异常事件的判断存在异质性。这些研究结果对改进两地的投资策略具有重要的意义。