The Study Of Co-movement Between China’s Mainland Stock Market And Hongkong Stock Market After The Implementation Of Shanghai-Hongkong Stock Connect

A+H stocks is defined as a class of special shares which are traded on stock market in both Mainland and Hongkong SAR.As a special class of shares,A+H shares play a very important role in analyzing the linkage between two markets.By studying the co-movement between the priceof A+H stocks in Mainland and Hongkong SAR,the effect brought by Shanghai-Hongkong Stock Connect can be measured scientifically.With the Shanghai-Hongkong Stock Connect program officially opened on November 17 th 2014,this paper choose the A+H stocks daily settlement of both market from the Jun.30 th 2013 to Jun.30 th 2016.Using Co-integration test,Var model,DCC-GARCH model and other financial models to test the differences of Co-movement after the implementation of Shanghai-Hongkong Stock Connect.According to the empirical results,the Co-movement between two markets was strengthen.But there are still market segmentation between mainland and Hongkong SAR...