The Empirical Study On The Co-movement Relationships Of Shanghai-Hong Kong Stock Connect Program To The Stock Market Between The Mainland Of China And Hong Kong

The securities market is an important part of the modern financial system,which has the core position in a country's economic development.Chinese Securities Market has become China's economic reform and development leader since the establishment of the 1990 s,promoting the change of China's economic system and social resources allocation.At the Boao Forum held on April 10,2014,Premier Keqiang Li said that the rise of Asian economy depends on innovation and structural adjustment.Opening to the outside world is not only reform,but also able to promote the development of reform.At the same time,China will continue to expand the levels and areas of opening-up in the deep integration with the international market.As a result,China will strive to establish the interconnection mechanism of Shanghai and Hong Kong stock market transactions,and further deepen the two-way opening-up and healthy development of the capital market between the mainland of China and Hong Kong.After six months activity preparation between the Mainland and Hong Kong,the pilot work of‘Shanghai-Hong Kong Stock Connect' program was officially launched on November17,2014.This paper,based on the formal implementation of Shanghai-Hong Kong Stock Connect Program,explores the impact of the stock exchange on the benefits spillover effect and volatility spillover effect from the perspective of the linkage between Shanghai and Hong Kong.This paper based on the previous scholars' research on the co-movement between the securities market as the theoretical basis,selected the Shanghai Composite Index and the Hong Kong Hang Sheng Index from November 17,2012 to February 28,2017 as the research object.Firstly,the stability of the index and the long-term equilibrium relationship between the two were tested by Augmented Dickey-Fuller Test and Co-integration Test.Then,compared and analyzed the linkage effect between Shanghai and Hong Kong before and after implement Shanghai-Hong Kong Stock Connect Program by establishing VAR model and BEKK-GARCH model.The empirical analysis shows that there is a long-term co-integration relationship between the Mainland and Hong Kong stock markets before and after the implementation of Shanghai-Hong Kong Stock Connect.The Hong Kong market is a one-way Granger reason for the mainland market before and after the implementation of Shanghai-Hong Kong Stock Connect,which means the Hong Kong market has a one-way spillover effect to the mainland market.However,the opening ofShanghai-Hong Kong Stock Connect has changed the short-term linkage between Shanghai and Hong Kong.Implement Shanghai-Hong Kong Stock Connect not only increased the volatility of the index return,but also increased the degree of mutual influence of the index.In addition,before and after the implementation of Shanghai-Hong Kong Stock Connect,there has been the obvious volatility spillover phenomenon between Shanghai Composite Index return and the Hang Sheng Index return.Hong Kong stock market fluctuations have a greater influence in the Shanghai stock market with the opening of Shanghai-Hong Kong Stock Connect.Finally,this paper puts forward some relevant suggestions on the investors and regulators based on the results of empirical tests.