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中文摘要：
构建市场活跃度指数，并与上证综指和深证综指之间的协整残差项一起作为解释变量引入条件均值方程和条件方差方程，建立双元EC—EGARCH—M模型。利用上证综指和深证综指的日收盘数据进行实证分析，得到的主要结论为：市场活跃度指数和协整残差项对条件均值方程和条件方差方程有很好的解释力；两市之间存在双向波动溢出，并都呈现出波动的集聚性和非对称性特征。
英文摘要：
This paper constructs market activity index, and puts them as explanatory variables in the conditional mean equation and the conditional variance equation together with the eointegrating residuals between Shanghai composite index and shenzhen composite index, thus develops EC - EGARCH - M model. Then it empirically analyzes the Shanghai composite index and Shenzhen composite index. Results show that market activity index and the cointegrating residuals are the two important explanatory variables for the conditional mean equation and the conditional variance equation ; there are two - way volatility spillovers between shanghai and Shenzhen stock market, besides, there are characteristic of volatility clustering and asymmetry in two markets.
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