中文摘要：

“沪港通”的正式实施对上海和香港两个股市之间的相互关系产生重要影响。本文采用Granger因果检验和二元GARCH-BEKK（1，1）模型，对沪港两市的联动效应进行了实证研究。结果表明：“沪港通”的实施确实在一定程度上增强了两市的联动效应，尤其是上海股市对香港股市的波动溢出效应得到了明显增强。这些结论对中国在进一步开放资本市场的进程中，如何建立有效防范资本市场风险机制具有重要的参考意义。

英文摘要：

＂Shanghai-Hang Kong Stock Connect Program＂ has the important effect to the linkage between Shanghai and Hang Kong stock market. This paper makes an empirical study on the linkage effects of Shanghai and Hang Kong stock market by Granger causality test and GARCI-LBEKK model The results show that the implementation of ＂Shanghai-Hong Kong Stock Co- nnect Program＂ enhances the linkage effect between Shanghai and Hong Kong stock market and the volatility spillover effect of the Shanghai stock market to Hang Kong has been significantly enhanced. These conclusions have important reference value for the further opening up the Chinese capital market and for the effective risk prevention mechanism in the capital market.