Research On The Effect Of Shanghai-hong Kong Stock Connect Program On AH Stock Premium And Co-movements Between Shanghai And Hong Kong Markets

Because of the particularity of Chinese stock market,Chinese mainland stock market and Hong Kong stock market have been in segmentation,but in recent years,with the liberalization of capital account,the stock market segmentation has gradually decreased.Shanghai-Hong Kong Stock Connect program has promoted the flow of capital in the mainland and Hong Kong.The establishment of the mechanism increases the interoperability between the two stock markets.This paper studies the impact of Shanghai-Hong Kong Stock Connect program on Shanghai stock market and Hong Kong stock market from the perspective of market segmentation,which includes the influence on the linkage of the two stock markets and the influence on the AH stock premium,therefore clearly explains the effect and the influence mechanism of Shanghai Hong Kong Tong.With the decrease of the market segmentation,the linkage effect between the Shanghai stock market and the Hong Kong stock market and the premium rate of the AH stock are different.This paper mainly studies the decrease of market segmentation between Shanghai and Hong Kong through two aspects.In the empirical study of the linkage between the two stock markets,the data samples of the Shan ghai composite index and Hang Seng Index are divided into two parts.By establishing the DCC-GARCH model and the BEKK-GARCH model,the changes of the linkage between the two cities before and after the launching of Shanghai-Hong Kong Stock Connect program are obtained.In the study of the changes in the AH stock premium rate,the effect of the Shanghai-Hong Kong Stock Connect program's launching and the investment on the AH stock premium rate are obtained by establishing a fixed effect model.The study proves that there is a continuous linkage effect between the Shanghai stock market and the Hong Kong stock market,but the opening of Shanghai-Hong Kong Stock Connect program has not significantly increased the correlation of the two markets.Besides,the influence of the Shanghai stock market's fluctuation on the Hong Kong market is greater than the influence of the Hong Kong market's fluctuation on the Shanghai stock market before the opening of Shanghai-Hong Kong Stock Connect program.However,after that,t his phenomenon has been reversed.The opening of Shanghai-Hong Kong Stock Connect Program and the investment of Shanghai-Hong Kong Stock Connect Program both promote the convergence of the AH stock premium,but the promotion is limited,which is due to the limited investment of Shanghai-Hong Kong Stock Connect program,the lack of effective arbitrage between the two markets and the failure of the arbitrage caused by the abnormal fluctuation in the Shanghai market.