In Subprime Crisis is,to check two hypotheses of effect about Shanghai and Hong Kong stock market on Shenzhen stock market:the effect of Shanghai on Shenzhen is more influential than Hong Kong;and the effect of Hong Kong and Shanghai on Shenzhen changes through time.This paper uses the series of daily closing price from 13 March 2007 to 31 September 2009 of Shenzhen component index,Han-gseng index and Shanghai composite index to analysis.We use returns ratio and volatility as proxy variable to depict the information on stocks ,and decompose the impacts of earning ratio and volatility on Shenzhen into local factors from itself,regional factors from Shanghai,world factors from Hong Kong.Then,in the period of a bull and bear market,we measure the change of influencing degree on Shenzhen in stages by ARMAX-EG ARCH model.The results are in accordance with the hypothesis.Moreover,Granger causal-ity test,impulse response function and variance decomposition support it from dynamic perspective.%为了验证次贷危机下沪市和港市对深市影响的大小及变化的两个假说：沪市对深市的影响大于港市对深市的影响；港市沪市对深市的影响是时变的。采用2007年3月13日至2009年3月31日深圳成指、香港恒生指数和上证综指的日收盘价做分析，将收益与波动作为刻画股市信息的变量，并把深市受到的收益和波动冲击分解为来自自身的“本地因素”，来自沪市的“区域因素”和来自港市的“世界因素”，利用 ARMAX-EG ARCH 模型，对牛市、熊市时期沪市和港市收益对深市收益影响程度的变化进行了分阶段计量检验，结果均与假说相符。另外，格兰杰因果检验、脉冲响应函数和预测方差分解则从动态的角度进一步支持了假说。
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