| The capital market opening to the outside world is an important symbol of country’s capital market development,and is one of the important contents of financial development and deepening.It is also our government has been actively promoting the basic state policy.In order to further enhance the degree of opening up of China’s capital market,China securities regulatory commission and Hong Kong securities regulatory commission jointly announce that the Shanghai-Hong Kong Stock Connect and the Shenzhen-Hong Kong Stock Connect are officially implemented on November 17,2014 and December 5,2016 respectively.Mainland and Hong Kong investors can buy and sell stocks listed on the other exchanges within the prescribed scope through local securities companies or brokers.The implementation of Shanghai-Hong Kong Stock Connect and the Shenzhen-Hong Kong Stock Connect is a major breakthrough in comprehensively deepening reform,realizes the two-way opening of domestic and foreign investors,expands the investment channels of domestic and foreign investors,deepens the exchanges and cooperation between domestic and foreign capital markets,and optimizes the investor structure of China’s capital markets,thus promoting the stable development of the mainland’s capital markets.However,the policy of the capital market opening to the outside world such as Shanghai-Hong Kong Stock Connect and Shenzhen-Hong Kong Stock Connect has also increased the linkage between China’s and the international capital market,exacerbated the risk of market volatility,and affected the steady development of the mainland capital market and the economy.Therefore,this paper takes advantage of the opening of Shenzhen-Hong Kong Stock Connect,How does the implementation of Shenzhen-Hong Kong Stock Connect affect the stock price volatility of China’s capital market? What will happen to the volatility characteristics of stock prices? Whether the linkage between the mainland stock market and Hong Kong stock market increases? Does the implementation of Shenzhen-Hong Kong Stock Connect reduce or exacerbate the mainland stock market volatility? Analysis of these problems will help us better understand the economic consequences of capital market openingto the outside word.It is of great significance to understand the information transmission mode and risk contagion mechanism of the two markets and improve the policy of China’s capital market opening to the outside world.In view of the above problems,this paper mainly carries out research from the following three aspects.First,we construct a fractional Brownian motion stochastic volatility model describing volatility,and MCMC inference method based on Bayesian is designed to estimate the model.In order to study whether difference of the operation time after the implementation of Shenzhen-Hong Kong Stock Connect has different effects on Shenzhen market,our data covers the period from January 5,2016 to November 2,2017 from 30 minutes closing price of Shenzhen component index and Shenzhen medium and small innovation index,and we divide it into two intervals.The model is estimated by Open BUGS software,the convergence of sampling and the accuracy of model estimation are explained,and the model is diagnosed,indicating that the model has better fitting ability.The results show that before and after Shenzhen-Hong Kong stock connect program,Shenzhen component index and Shenzhen medium and small innovation index have jump tendency,and jump tendency increases after the implementation of Shenzhen-Hong Kong stock connect.With the gradual implementation of the Shenzhen-Hong Kong stock connect mechanism,jump tendency does not decrease.At the beginning of the Shenzhen-Hong Kong stock connect,The volatility level of the stock market,fluctuation persistence and the disturbance level of the fluctuation strengthen.But over time,the effect of the policy is gradually showing,the volatility level of the stock market,fluctuation persistence and the disturbance level of the fluctuation reduce.Shenzhen component index and Shenzhen medium and small innovation index have significant leverage effect before and after the Shenzhen-Hong Kong stock connect.At the beginning of the Shenzhen-Hong Kong stock connect,leverage effect of Shenzhen component index and Shenzhen medium and small innovation index weakens.But in the long run,leverage effect increases.Second,Through GC-MSV model,we use MCMC method based on Bayesian toestimate the model,and study the volatility spillover effect between Shenzhen market and Hong Kong market before and after the implementation of Shenzhen-Hong Kong stock connect.We take December 5,2016,the official implementation date of Shenzhen-Hong Kong stock connect as the segmentation date,and 30 minute closing price of Shenzhen component index,Shenzhen medium and small innovation index and Hang Seng index from May 3,2016 to July 11,2017 are selected as samples.The results show that the volatility of Shenzhen component index,Shenzhen medium and small innovation index and Hang Seng index has higher persistence,and the fluctuation persistence strengthens after the laugh of Shenzhen-Hong Kong stock connect.There is a two-way fluctuation spillover effect between Shenzhen component index,Shenzhen medium and small innovation index and Hang Seng index before and after the implementation of Shenzhen-Hong Kong stock connect.The mutual influence significantly increases after the implementation of Shenzhen-Hong Kong stock connect.Showing that the linkage between the mainland and Hong Kong stock markets has significantly enhanced after the implementation of Shenzhen-Hong Kong stock connect,and the status of China’s mainland securities market in the international financial market has been improved.But because the policy is still in its infancy,while strengthening the linkage between the two markets,it also strengthens the volatility spillover effect.Finally,We re-select the data and model to test,and show that the robustness of the results.Finally,We elaborate the influence mechanism of capital market opening on stock market fluctuation in China,and put forward the research hypothesis.We use the stocks of Shenzhen listed companies from 2014 to 2018,and design the double difference model to deeply examine the influence of Shenzhen-Hong Kong stock connect on the volatility of China’s stock market.The researches show that the implementation of Shenzhen-Hong Kong stock connect policy has aggravated the volatility of the underlying stocks of Shenzhen-Hong Kong stock connect,and it is more significant that in active trading stocks of Shenzhen stock connect.Through the earnings management verification,We find that after the implementation of Shenzhen-Hong Kong stock connect,the stock manipulability accruals of the underlying stock of Shenzhen-Hong Kong stock connect increases,the motivation of themanagements’ earnings manipulation increases,the quality of information disclosure decreases,and the stock volatility of the underlying stock of Shenzhen-Hong Kong stock connect increases.According to the test of accounting conservatism,after the opening of Shenzhen-Hong Kong stock connect,the noise in cash flow increases and the accounting conservatism decreases,which also indicates that the implementation of Shenzhen-Hong Kong stock connect system aggravates the fluctuation of underlying stock price of Shenzhen-Hong Kong stock connect.The noise trading index test shows that after the opening of Shenzhen-Hong Kong stock connect,the noise level of the underlying stocks of Shenzhen-Hong Kong stock connect is higher than that of the underlying stocks of non-Shenzhen stock connect,thus aggravating the stock market volatility.From the perspective of corporate governance,We find that the implementation of Shenzhen-Hong Kong stock connect fails to improve the level of corporate governance.In order to exclude errors caused by QFII shareholding,A+H shares,nature of property right,non-random selection,Shanghai-Hong Kong stock connect,selection of volatility variable,A shares are included in MSCI index and so on,the robustness is tested.At the same time,we test the samples of Shenzhen GEM listed companies.Empirical results show that Shenzhen-Hong Kong stock connect strengthens the Shenzhen GEM stock price fluctuation,but the significance is weaker.In a word,the implementation of Shenzhen-Hong Kong stock connect enhances the linkage effect of the two capital markets in a certain extent.It is conducive to promoting the degree of China’s capital market opening to the outside world,and further enhances the status of China’s securities market in the international financial market.But because inland capital market still is not perfect and maturity,and in not fully in line with the international financial market,and Shenzhen-Hong Kong stock connect policy is still in its early sages.It strengthens the linkage of the two markets at the same time,reinforces the volatility spillover effect.When the market opens to the outside world,risk in international markets is brought to the mainland capital markets,and increases volatility risk of capital market.This paper puts forward corresponding suggestion to the discussion and analysis. |
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