Research On Volatility Linkage Among Shanghai?Shenzhen And Hong Kong Stock Markets Under The Background Of "Shenzhen-Hongkong Stock Connect"

China's capital market follows the footsteps of global economic integration and is becoming more and more open.With the implementation of the "Shanghai-Hong Kong Stock Connect" policy on November 17,2014 and the implementation of the"Shenzhen-Hong Kong Stock Connect" policy on December 5,2016,the Shanghai?Shenzhen stock market and the Hong Kong stock market have achieved an interconnection mechanism.The links are also becoming increasingly close,with the consequent financial risks being more easily transmitted,and macroeconomic factors such as exchange rates will also have an impact on stock market volatility.Therefore,for the relevant government departments and investors,it is of great significance to study the volatility linkage among Shanghai?Shenzhen and Hong Kong stock market under the background of Shenzhen-Hong Kong Stock Connect.After analyzing domestic and foreign literatures,this paper uses effective market theory,economic integration theory,behavioral finance theory and flow-oriented model as the theoretical basis,points out the influencing factors of the linkage among Shanghai?Shenzhen and Hong Kong stock market and deeply analyzes the impact mechanism.The daily closing price of the Shanghai Composite Index,Shenzhen Component Index and Hong Kong Hang Seng Index from December 5,2014 to December 5,2018 was selected as sample data.The EGARCH model was used to study the impact of exchange rate on the volatility in Shanghai?Shenzhen and Hong Kong stock market.Based on the volatility of the three markets,the Johansen cointegration test and the SVAR model were used to study the long-term and short-term fluctuations among Shanghai?Shenzhen and Hong Kong stock market under the Shenzhen-Hong Kong Stock Connect.The following conclusions were drawn:(1)After the implementation of the "henzhen-Hong Kong Stock Connect" policy,exchange rate fluctuations have intensified the volatility of the Shenzhen and Hong Kong markets,while the impact of exchange rate on Shanghai Stock has not been significant.(2)After the implementation of the "Shenzhen-Hong Kong Stock Connect" policy,the Shanghai?Shenzhen and Hong Kong stock markets all showed leverage effect,that is,bad news has a greater impact on the stock market than the good news,however,before the"Shenzhen-Hong Kong Stock Connect" policy,the Shanghai and Shenzhen stock markets have no leverage effect.(3)Before and after the implementation of the"Shenzhen-Hong Kong Connect" policy,there is no long-term volatility linkage between the three stock markets of Shanghai,Shenzhen and Hong Kong.(3)Under the background of Shenzhen-Hong Kong Stock Connect,the volatility between Shanghai and Hong Kong is weak,and the volatility between Shenzhen and Hong Kong is strong.The volatility between Shanghai and Shenzhen is that the Shenzhen stock market's volatility impact on Shanghai Stock Market is remarkable and the Shanghai stock market's volatility impact on Shenzhen Stock Market is weaker,further illustrating that after the implementation of the "Shenzhen-Hong Kong Stock Connect" policy,the role of the Shanghai Stock Exchange has been weakened and the role of Shenzhen Stock Market has been highlighted.For the reasons for the above phenomenon,the author explained and finally,made relevant suggestions to relevant government departments and investors.