Abstract: Through the study on the volatility spillover effects between stock markets, we can gain an insight into the paths and directions of risk contagious, and we can also make a short-term prediction under external shocks. This paper investigates the volatility spillover between the equity markets in U.S.A, Japan, Hongkong and Shanghai. The empirical study shows that there only exists the unidirectional spillover from Hongkong market to Shanghai Share A market, and there are not significant spillover effects between Share A and U.S.A. market, and no between Share A and Japan market. But Japan and U.S.A. stock market indirectly influence Share A because of the spillover from the stock markets in Japan and US.A. to Hongkong market. Conclusively, we should pay more attention to the volatility of Hongkong market in the short term when we consider the external volatility risk to Share A, furthermore is the volatility from Japan and U.S.A. market, especially from U.S.A. market.

Keyword: Equity market; Volatility spillover effects; Multivariable GARCH model