中文摘要：

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，采用ARJI-Trend模型，识别中国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及风险溢出成份。研究发现，两个市场存在高度持续性的长期波动，H股的短期波动和A股的跳跃波动在自身总波动中均占有较高比重，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，两个市场的投资者对异常事件的判断存在异质性。

英文摘要：

This paper uses the ARJI-Trend model to study the components of volatility and volatility spillover between A share market and H share market .With the index data of the two markets from December 2003 to December 2010 to estimate, it decomposes the volatility into long-run volatility, short-run volatility, and jump volatility.It is found that both markets have long-run volatilities with high persistence , and the short-run volatility on H share and the jump volatility on A share form a large proportion of the market risk .Moreover, there are two-way spillover of the short-run volatility between the two markets and one-way spillover of long-run volatility from A share to H share .Additionally , investors of the two markets are heterogene-ous in their prediction of rare events .Investors can use these results to construct portfolio strategies .