中文摘要：

采用基于加权CCF的方差Granger因果检验方法，分析了上证指数、恒生指数收益序列的波动溢出效应，并以此信息为依据构建BEKK模型对两序列间的时变相关性进行了实证，结果显示两股市之间的波动溢出并不显著，一股市的冲击对另一股市的波动产生的传导性影响不明显;两股市的联系和联动性相对较弱，但有逐渐增大的趋势。

英文摘要：

Weighted cross correlation function-based causality-in-variance test was used to analyze the fluctuated spillovers between Shanghai composite index and Hang seng index, and BEKK model was built to test the time-varying correlation of the two time series. The results show that the fluctuated spillover between these two stock markets is not obvious and their correlation is small, but there is a trend toward the increase for the two tome series.