Based On Arbitrage Research Of Shanghai-hong Kong Stock Connect Program Difference In Trading Mechanism

"Boao BBS" in April 2014, li keqiang, the prime minister talked about the capital market reform, put forward to open the " Shanghai-Hong Kong Stock Connect program ", after seven months of preparation, the official launch of the Shanghai stock exchange, interconnection mechanism pilot(hereinafter referred to as the Shanghai port).Opened as the background, this article first to Shanghai and HongKong are analyzed through opening the influence and significance of Shanghai-Hong Kong Stock Connect program opening due to differences in both trading mechanism, which will result in the arbitrage behavior of securities investment in China.Second, the literature at home and abroad about the arbitrage behavior of securities investment, securities investment portfolio and arbitrage model is put forward. It includes overall analysis, portfolio management before implementation of arbitrage and arbitrage model analysis.Before the implementation of arbitrage overall analysis includes the analysis of the macro environment, market trends analysis, various participants in the game on the market analysis, market sentiment confidence analysis.Portfolio management including focuses on the risk of portfolio management, securities earnings and the returns and risk of investment portfolio.The analysis of the arbitrage model mainly discusses the capital asset pricing model and arbitrage pricing theory.On the basis of the above port of Shanghai general multi-factor arbitrage model is put forward.The focus of this article is difference empirically arbitrage trading system, analyses the differences of Shanghai tong trading system arbitrage, investors have difference carry may use the following system: the use of the difference between the price of A- H shares for arbitrage, the use of arbitrage trading time difference, the difference of use or stop carry using T+0transaction system and T+1 arbitrage trading system differences.Through the case analysis of the securities market arbitrage, the empirical study conclusion, proved based on the port of Shanghai trading mechanism difference of arbitrage strategy is feasible.Finally, the arbitrage portfolio performance evaluation.From the fractal market hypothesis arbitrage theory proposed investors may be irrational, also points out that investors arbitrage risk society, and the principle of arbitrage and the risk management.Finally summarizes the Shanghai port on the latest development and prospects.