The Correlation Analysis Of Shanghai Index And Hong Kong’s Hang Seng Index

Chinese capital market got rapid development in recent years, realizing the capital market opening to the outside world in many ways, equity division reform basically completed, standardizing the market system, improving the governance of listed companies, QFⅡ and QDⅡ institutional investors having further development. Especially on November 1,2014, the Shanghai stock exchange opened tong trading in Shanghai port, Shanghai port on the opening of the marks of the Chinese capital market further opening to the outside world. Therefore, in this paper the correlation of the Shanghai and Hong Kong’s hang seng index to carry on the deep analysis and research, aims to find the Shanghai composite index and the associative law of Hong Kong’s hang seng index, as a national government policy, the majority of institutional investors and small and medium-sized investors’asset allocation put forward concrete proposals.In this paper the theoretical basis of stock market correlation and correlation factors of the mainland market and Hong Kong stock market is analyzed in this paper. Stock market linkage theory is mainly divided into economic base theory and theory of market contagion two parts.The linkage between Shanghai and Hong Kong stock market factors also comes from two aspects, on the one hand is the enterprise economic ties between the two places, on the other hand is a policy in both markets. On the basis of theoretical analysis, this paper uses the VAR model, cointegration test, MS-VAR model and impulse response function on the Shanghai and Hong Kong’s hang seng index correlation empirical research, the sample interval from December 1990 to February 2015 monthly data. Empirical studies show that the Shanghai composite index and the hang seng index in Hong Kong short-term fluctuations still exist, but in the long run there is a cointegration relationship, and is a growing long-term correlation. Specificly, the Shanghai composite index and the hang seng index in Hong Kong in zone 1 and zone 3 state correlation is very strong, in zone 2 state correlation performance is relatively weak. And through the analysis of different area of the impulse response function can be seen that:When there is a standard deviation of the impact of the hang seng index in Hong Kong, Hong Kong’s hang seng index change is bigger, but the impact over time becomes more and more small, under the system of area 1 influence significantly less than eight months after the Shanghai composite index. Area under the system of 2 influence significantly less than 20 months after the Shanghai composite index.Area under the system of 3 influence significantly less than 13 months after the Shanghai composite index. At this point, the Shanghai index change is bigger also, under the system of area 1 to 5 months after the Shanghai composite index reached the maximum impact, then more and more small.In zone 2 under 20 months after the maximum impact on the Shanghai composite index.In the area under the system of 3 to 13 months after the Shanghai composite index influencing maximum; When the Shanghai index hit from one standard deviation, the Shanghai index change is bigger, the area has the greatest effect in the system of 1, zone 3 times, district 2 minimal impact, but the impact over time becomes more and more small, has been higher than its influence on the hang seng index.At this point, Hong Kong’s hang seng index 0 period began to slowly affected, three area under all affect the maximum during 15 months, but has been below the impact on the Shanghai index, which area of has the greatest impact under 1, zone 3 times,2 minimum zone system;Finally, based on this conclusion the regulators and investors are given some advice. Whether the administration policy or the investors to invest assets should be considered and fully attaches great importance to the mainland market and Hong K.ong stock market linkage effect between.Of course, this article also has some deficiency, this article is not under the Shanghai composite index is different area, and Hong Kong’s hang seng index correlation and pulse response of different specific reasons for analysis.