| Many researchers have paid more attention to the research of stock market integration, under the background of the relaxing control,globalization and the development information and technique. But the research of integration between Hong Kong and the Mainland stock markets will have an important referenced value to the QFII policy and the QDII policy.This paper applies the event study, which uses the squared of daily price change, the squared of non-trading hour's price change and the variance of ARCH model as the dependent variable. The changes in the volatility and liquidity of Hong Kong stocks are examined before and after their cross-listing on the Mainland to examine their market integration from three respects.This thesis is divided into six chapters :Chapter 1 is the background on the Hong Kong and the Mainland stock markets; Chapter 2 mainly introduces the domestic and foreign research on the stock market integration, then summarize the common result in domestic ;Chapter 3 gives the definition of integration,liquidity,price volatility and their relations, then introduces the research model and the GMM estimation; Chapter 4 exams the integration using the squared of daily and non-trading hours price change. It is found that for many stocks volatility of stock prices increases and liquidity declines after cross-listing, which suggests the lack of integration between the two stock markets; Chapter 5, the variance that get from ARCH is taken as a proxy for unobserved price variance, and exam the integration again. Similar results are obtained; Chapter 6 summarizes the paper and give some policy suggestions.Innovations in this thesis are presented as follow: First, a microstructure of the market integration research was given by choosing the stock that cross-listed in Hong Kong and the Mainland as the sample; Second , the variance that get from ARCH is taken as a proxy for unobserved price variance, which make the result more believable. |
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