中文摘要：

研究目标：研究资本市场开放是否强化跨境资本市场间的联系及如何促进波动溢出和风险传染等问题。研究方法：运用广义溢出指数法对比分析沪港通开通前后中国内地与中国香港股市行业间波动溢出效应的变化及其形成机理。研究发现：沪港通开通前，信息、电信等第三产业的信息溢出水平较高，但沪港通开通后，材料、工业等第二产业的信息溢出能力显著增强；沪港通的实施提高了两市行业间的双向波动溢出程度，且主要增强了上证各行业对恒生行业的波动溢出强度；市盈率效应、规模效应和投资者情绪变化等内地市场的非理性特征也会影响中国内地与中国香港股市间的波动溢出。研究创新：在沪港通政策背景下，从行业层面考察两地股市间的波动溢出效应及形成机理，将风格投资和投资者情绪等非理性行为因素纳入两地资本市场波动溢出的解释框架。研究价值：为两地资本市场的风险传染机制提供更为系统的视角，为检验内地资本市场开放政策提供更为全面的评估，为推行“深港通”等制度提供借鉴。

英文摘要：

Research Objectives： This paper analyzes the changes of volatility spillovers between Mainland stock market and Hong Kong stock market before and after the launch of the Shanghai-Hong Kong stock connect program, and also further discusses how these industries influence each other. Research Methods： The article uses generalized spillover index model to analyze the changes of volatility spillovers. Research Findings： The empirical results show that the tertiary industry is in the lead before the launch of the program such as information and telecoms, but after that, secondary industry significantly enhanced its ability of deliver messages; This program enhances the degree of bidirectional volatility spillovers between these industries, especially the spillover from Shanghai to Hong Kong~ Besides economic fundamentals and capital flow, P/E effect, size effect and the changes of investor sentiment also can affect the volatility spillovers. Research Innovations： According to Under the back-ground of this policy, this paper analyzes the inter-industry volatility spillover effect and its formation mechanism. Research Values： The paper provides references for the design and implementation of Shenzhen-Hong Kong Stock Connect program and other policies of opening to the outside world.