| On November 11,2014,In order to further adapt to the capital market investment needs and development prospects,the mainland of China and Hong Kong's capital market jointly launches the " Shanghai-Hong Kong Stock Connect program " system,allowing the two places to invest in the stock market users in accordance with the local securities intermediary's requirements within the legitimate compliance of the stock trading.This initiative is far-reaching,no only it can give full play to the function of the capital market,can give correct guidance on the linkage between the stock market to avoid the negative impact of some illegal and the stock market caused too much impact,but also to further promote the internationalization of the RMB process to strengthen the political and economic cohesion between the two places.Under the current historical conditions,this paper takes the linkage between Shanghai and Hong Kong as the fundamental,and takes the relevant domestic and foreign advanced,scientific and enforceable literature.First of all,the basic theory of linkage of stock market and the policy of Shanghai and Hong Kong This paper analyzes the transmission mechanism between Shanghai and Hong Kong through the comparative analysis method,and then selects the Shanghai Composite Index and Hang Seng Index,which represent the two markets,as the research sample,Time node,divided into three periods of time,independent of the creation of VAR model,and the relevant test to measure the long-term linkage between the two stock market,the asymmetry between the market to consider them,the use of DCC-EGARCH model to accurately measure The variability of the rate of return.The data,architecture and related theories in the model are elaborated to ensure that a large amount of real data can guarantee the scientificity and enforceability of the model.The empirical results show that the linkage between the two markets is constantly changing with the implementation of the policy.At the same time,the Shanghai market reflects the "bad news" is less than the "good news" of this unique phenomenon and the Hong Kong market,including the major international stock market is different,and finally,for the Shanghai and Hong Kong system And the existing problems of the existing policy makers and investors were put forward more constructive recommendations.The study found that: in the "Shanghai and Hong Kong through" has not yet officially launched before the expected long-term cointegration does not exist;and in the "Shanghai and Hong Kong through" the third period is the formal implementation of the Shanghai-Hong Kong policy,the Shanghai and Hong Kong The stock market began to appear in the expected cointegration relationship,the Hong Kong stock market to guide the volatility of the Shanghai stock market,the Shanghai stock market has no leading role in the Hong Kong stock market,the Shanghai market response to the bad news over the positive news response,with most of the stock The market is the opposite,"Shanghai and Hong Kong through" after the opening,the correlation coefficient between the two cities are constantly rising.Through the above empirical research results,we can put forward their own suggestions for different participants in the market.For our financial regulators,we should pay more attention to the risk control and accelerate the internationalization of our capital market on the basis of financial innovation.At the same time,,Should continue to enrich the financial policy,strengthen the professional investment level of investors,and constantly to the mature market line.For individual investors,must not be irrational,should use the expertise and investment experience to correctly handle the "Shanghai and Hong Kong" to give everything,choose the right for each person's risk and the ratio between the income at affordable risk Situation,enjoy the benefits of maximizing. |
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