Integration and Fluctuation Analysis for Stock Market: Hong Kong, Shanghai and ShenzhenAC

Based on the daily market index data of Hong Kon g, Shanghai and Shenzhen stock markets from 1997 to 2009, this paper analyses fluctuation linkage between three stock markets. By using multivariate GARCH model to fit stock market's time change related coefficients, and through Johansen co-integration test and Granger causality test, the research results indicate that the link between Shanghai and Shenzhen stock markets and Hong Kong stock market has become more closely linked and integration trend is significant.