| The Shenzhen-Hong Kong Stock Exchange trading mechanism has been implemented for 15 months,the Shenzhen Stock Exchange was at a low level during this period,and Hong kong's stock market was in a strong rising phase.The flow of funds in Shenzhen-Hong Kong Stock Connect generally showed a situation of south hot and north cold.The northbound Shenzhen stock connecting funds are too concentrated in certain stocks,and the Shenzhen stock connecting of some stocks have even zero trading.This article takes the stock price volatility of Shenzhen Stock Exchange Funds Trading Co.,Ltd.as the research object and deeply analyzes the influence of Shenzhen-Hong Kong Stock Connect on the stock market volatility of Shenzhen Stock Exchange.The paper first studied the trends and volatility of each section index of SZSE from 2015 to 2018.Secondly,it learned about the current situation of accumulated capital inflows of Shenzhen stock connecting,and selected the stocks with active funds for screening as the research object,constructing experimental groups and control groups.Apply the double difference model to study the effect of Shenzhen-Hong Kong Stock Connect on the stock market volatility of Shenzhen Stock Exchange.The empirical results show that the introduction of the Shenzhen-Hong Kong Stock Connect policy has played a role in suppressing the volatility of the stock price for the top ten and top 20 deep-linked stocks trading active stocks.The top ten fund trading active stocks have suppressed the stock price volatility more than the top 20 stock trading active stocks.In the short-term,the Shenzhen-Hong Kong Stock Connect policy has played a role in encouraging the decline of the top 20 stock price volatility to a certain extent,but it has not played the role of chasing and killing the active stocks in the top ten funds.It is believed that Shenzhen-Hong Kong Stock Connect has played a role in chasing and depriving the Shenzhen Stock Market in the short term.Overall,the results of empirical analysis further prove that Shenzhen Stock Exchange has a stable effect on the volatility of the Shenzhen Stock Exchange. |
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