Study On The Correlation Of China's Shanghai And Shenzhen And Hong Kong Stock Market

The outbreak of the global economic crisis in 2007 shows that the economies of various countries influence each other.With the frequent circulation of global goods and capital,economic integration is the main theme of today's world.As an important part of the capital market,the stock market shows a trend of rising and falling together.The correlation between stock markets has always been concerned by scholars.Degree of China capital market is gradually expanding opening to the outside world,the implementation of the reform of non-tradable shares,the qualified foreign institutional investors(QFII)mechanism,the qualified domestic institutional investor(QDII)mechanism of open policy,the correlation between the mainland and Hong Kong,foreign stock market has improved.Especially in recent years,the policies of Shanghai-Hong Kong stock connect and Shenzhen-Hong Kong stock connect are implemented,directly open the doors of the mainland and Hong Kong capital circulation,will be effected on the correlation between the mainland stock market and the Hong Kong stock market.Therefore,it is very important to study the interactivity between the stock market and the reasons for its change.Based on the research of domestic scholars,this paper makes an empirical study on the interconnection between Shanghai and Shenzhen stock markets in China in three stages.Studying the correlation between the mainland market and Hong Kong stock market,combining with the open policy,has important significance to our country capital market system perfect.And it can supply effective suggestions for policymakers and investors.First,Granger causality test and dcc-garch model are used to verify the interactivity between Shanghai,Shenzhen and Hong Kong stock markets.Secondly,it puts forward corresponding hypotheses on the influencing factors of interactivity between the stock market,establishes the multiple regression model,and further analyzes the changes of interactivity.The following conclusions can be drawn: the stock market of Shanghai,Shenzhen and Hong Kong in China are linked,and the correlation coefficient between them is dynamic.The expansion of capital flows,coupled with an increase in the ratio of shares to market capitalisation in both places,will increase the interconnectedness of the stock market.As capital markets have become more open,the short-term link between the mainland and Hong Kong stock markets has gradually increased,and in the latest stage,the Hong Kong stock market has played a leading role in the mainland stock market.Based on the research of the correlation between stock market and the stock market the influence factors of the correlation between the empirical,it can help policy makers to understand the correlation between different policy on the stock market influence.It can also help investors to know the relationship between the stock market,so they can avoid risk or make cross-market configuration to realize excess returns.And it is of great significance.