An Empirical Analysis On The Influence Of Shanghai-hong Kong Stock Connect Program To The Stock Market Between The Mainland Of China And Hong Kong

At the Boao Forum,Premier Keqiang Li pointed out that our country will focus on promoting reform, at April 10,2014, which the capital market reform is the important aspect.The establish of Shanghai-Hong Kong stock exchanges connectivity mechanism can promote the development of China’s financial liberalization.At the same time it can promote two-way open-up and healthy development of China’s and Hong Kong’s capital market.That will push our country to a new level of opening-up,with more depth integration with international market.All of that will be a reform for the capital markets in mainland of China and Hong Kong.Under the arrangement of one country two systems,the stock markets suffered different macro environment.For the different finance arrangement adpted the finance market,they developed in a separate way.Since it appear in our country,the stock market always repair itself to solve the problem.Under the background of the mainland,s economic transition, capital market system has been improved,especially in the 21 century.Shanghai-Hong Kong Stock Connect program is the symbol of the reform of China,so it is meaningful to make the reseach on coupling effects of mainland and Hong Kong.This paper selects Shanghai Composite Index and Hong Kong’s Hang Seng Index as the research object.The data sample is divided into two stages at the point the official opening of Shanghai-Hong Kong Stock Connect.Then use the unit root test and cointegration test respectively on their stability and analysis and discuss the problem whether there is a long-term co-integration relationship between the series.After, this paper makes a quantitative model to analyze the short-term linkage.The final conclusion is that, The two stock markets, long-term co-integration relationship disappear after the open of Shanghai-Hong Kong Stock Connect problem.The short- term linkage effects between the two places have great changes.Finally, this paper analyzes the reasons for the above conclusions, and puts forward some suggestions to the management department and investors according to the results of empirical analysis.