Empirical Analysis Of The Linkage Effect Between The Mainland And Hong Kong Stock Market

With the acceleration of economic globalization and integration process,the stock markets of the world have also shown more correlations.The research on the linkage between stock markets has become an important aspect of stock market research.Studying the linkage between the mainland and Hong Kong stock market and exploring the law of mutual change between the two stock markets are of great significance for promoting the cooperation between the capital markets of the two places,constructing the investment interoperability mechanism of the two stock markets and coordinating the supervision of the capital markets of the two places.The opening of Shanghai-Hong Kong Stock Connect and Shenzhen-Hong Kong Stock Connect marks the official formation of the interconnection mechanism between the mainland and Hong Kong.According to these two important economic events,this paper divides the daily return rate of stock index from December 13,2012 to June 30,2018 into three stages: before the opening of Shanghai-Hong Kong Stock Connect,after the opening of Shanghai-Hong Kong Stock Connect but before the opening of Shenzhen-Hong Kong Stock Connect and after the opening of Shenzhen-Hong Kong Stock Connect,to study the linkages among Shanghai?Shenzhen and Hong Kong stock market.The interoperability mechanism had a positive effect on the linkage between Shanghai and Hong Kong?Shenzhen and Hong Kong stock market.After the opening of Shanghai-Hong Kong Stock Connect,the mainland market was further opened up.The external market environment gradually increased its influence on the mainland market.The mean spillover effect between the mainland and Hong Kong stock market was significantly enhanced and the links became closer.After the opening of Shenzhen-Hong Kong Stock Connect,although the mean spillover effect between the mainland and Hong Kong stock market was significantly weakened,the Shenzhen-Hong Kong Stock Connect had a relatively significant impact on the AH share price gap,and the AH share price gap gradually narrowed,indicating that the Shenzhen-Hong Kong Stock Connect opened effectively improved the markets of the two places.In the case of segmentation,the market links between the two places became closer.There was a weak volatility spillover effect in the two places before the opening of Shanghai-Hong Kong Stock Connect.After the opening of Shanghai-Hong Kong Stock Connect,the volatility spillover effect between the two stock markets was significantly enhanced.Compared with the impact of the mainland stock market on the Hong Kong stock market,the impact of the Hong Kong stock market on the mainland stock market is more obvious.The financial links between the mainland and Hong Kong market were closer.After the opening of Shenzhen-Hong Kong Stock Connect,the degree of increase in volatility spillover effects decreased.Compared with the impact of the Hong Kong stock market on the mainland stock market,the impact of the mainland stock market on the Hong Kong stock market is more obvious.With the continuous deepening of economic and trade between the two places and the continuous cooperation of the financial system,the linkage effect between the markets of the two places will continue to strengthen,and the mutual guiding relationship will become more apparent.In addition,after the opening of Shanghai-Hong Kong Stock Connect and Shenzhen-Hong Kong Stock Connect,the connectivity of volatility spillover networks and the efficiency of volatility spillover effects were maintained at a high level,and the volatility spillover effects between stock indexes were more intensive.The core of the volatility spillover network,the linkage between the two stock markets and the correlation all increased.