中文摘要：

本文首先创新性地提出了测度区域金融一体化程度的“两阶段GARCH”模型，该模型的第一步通过二元GARCH模型的设定，对全球性和区域性的金融一体化趋势加以区分，再将由此提取的新息序列作为全球信息冲击和区域信息冲击的代理变量，带入第二步的波动性溢出模型中，构建地方金融资产的收益率与区域信息冲击的相关度、地方金融资产收益的波动被区域信息冲击解释的动态比例两类指标，分别测算了区域金融一体化的阶段水平和发展轨迹。基于该模型，对“粤港”这一特殊区域的金融一体化进行了实证分析，并讨论了金融危机和汇率制度改革对金融一体化进程的影响。

英文摘要：

This paper innovatively proposes a Two-Stage GARCH model to measure the regional finan- cial integration. This model distinguishes the regional and global integration trends through a bivariate GARCH model at the first stage. Then the estimated innovations were used as inputs for the second-stage volatility spillover model, with function of proxies for global and regional shocks. This paper establishes two indicators for measure the level and process of financial integration： the sensitivity of local assets＇ returns to regional news, and the percentage of the returns＇ volatility which could be explained by re- gional shocks. Based on this model, the paper also analyzes empirically the financial integration in the region of Guangdong and Hong Kong.