Study On The Effect Of Shanghai-Hongkong Stock Connect Program On The Co-movement Between Shanghai And Hongkong's Stock Market

On November 17,2014,the Shanghai-Hong kong capital markets formally implemented a joint Shanghai-Hong Kong Stock Connect policy.The Mainland's financial investment market was opened to a large extent and was connected via a network of Shanghai-Hong Kong exchanges.The local traders were able to buy each other's shares within the legal framework of the other exchange through the middleman.This system is intended to better meet the investment needs of the capital market,which can be described as meaningful.The implementation of this policy will,to a large extent,promote the development of China's financial market and move closer to the international market at a faster pace.The research content of this article is briefly summarized as follows:First,the literature of domestic and foreign scholars is described and the viewpoints are summarized.Second,the overall definition of the linkage of the stock market,the basic theory and the promotion factors are elaborated.Then,from four perspectives,the author analyzes in detail the influence mechanism of Shanghai-Hong Kong stock market linkage and separately expounds the influence of Shanghai-Hong Kong Stock Connect policy.Then,we selected the Shanghai 180 Index and the Hang Seng Index,which represent the two markets for the 13 years from 2004 to 2017,as research samples.The implementation dates of the RQFII and the Shanghai-Hong Kong Stock Connect system were used as time nodes.The sample interval was divided into three periods.Segments,through the stationarity and cointegration test,the establishment of error correction model,Granger causality test,impulse response and other measurement methods to determine the linkage between the two stock markets.The study of the thesis concludes that before the implementation of the RQFII system,there was no cointegration between Shanghai and Hong Kong stock markets.Before and after the implementation of the Shanghai-Hong Kong Stock Connect system,the expected co-integration relationship between the Shanghai and Hong Kong stock markets emerged.The linkage between Shanghai and Hong Kong stock markets after the Shanghai-Hong Kong Stock Connect was implemented was stronger than the linkage before implementation,that is,the implementation of the Shanghai-Hong Kong Stock Connect system improved the linkage between Shanghai and Hong Kong stock markets.Moreover,the influence of the stock market in Shanghai was greater than the influence of the stock market in Shanghai.After the conclusion was reached,the possible causes of the conclusions were analyzed.At the end of the paper,based on the above conclusions,corresponding reasonable suggestions were made for policy makers and investors respectively.