| In the process of China's reform and opening up,the “Shanghai-Hong Kong Stock Connect” formally launched in 2014 and the “Shenzhen-Hong Kong Stock Connect” formally launched in 2016 will surely leave a thick brush on the historical stage.The official opening of the “Shenzhen-Hong Kong Stock Connect” is not only conducive to deepening the reform policy of the Chinese capital market,but also has significant significance in guiding the RMB to the world stage and expanding the influence of the Hong Kong financial circle on the international stage.Based on past scholars' research results,this article takes the occurrence of this event as the time-demarcation node and studies in depth the fluctuations in Shenzhen Stock Exchange's market volatility and its stock price fluctuations.First,this article introduces the background,purpose and significance of the opening of Shenzhen-Hong Kong Stock Connect.Second,it summarizes the relevant research methods for the volatility of the stock market and the existing literature on volatility at home and abroad.Based on this,it put forward its own research direction and purpose,combined with its own knowledge,using the GARCH model for the four representative indices of the Shenzhen Stock Market: Shenzhen Stock Index,ChiNext Index,SZSE Small and Medium Sized Innovation The index and the fluctuation ofthe SME Index are analyzed.Finally,based on the empirical test results,some conclusions are drawn,and the reasons for the results are properly analyzed.Finally,some of their own suggestions are put forward.In the empirical test part,this paper intercepts the daily closing price data of the Shenzhen Stock Exchange Index,Shenzhen Stock Exchange Small and Medium Enterprises Innovation Index,SME Board Index and GEM Index between January 1,2015 and March 6,2018,using logarithm.The treatment method calculates the daily rate of return,and then passes a series of tests to check whether the data meets the criteria for establishing a GARCH model.Then,with the opening of Shenzhen-Hong Kong Stock Connect as a node,the introduction of a dummy variable represents the opening of Shenzhen-Hong Kong Stock Connect,and the GARCH model is used to study the volatility of these four indices.The results show that the opening of Shenzhen-Hong Kong Stock Connect reduced the level of volatility of the above four indices and concluded that the opening of Shenzhen-Hong Kong Stock Connect reduced the level of volatility in the Shenzhen Stock Exchange market.Based on the empirical findings,this paper analyzes the reasons for the decline of Shenzhen Stock Market's volatility,and finds that the main reasons for the smaller volatility in the Shenzhen market are the following: 1.Investors are more rational;2.The government is more effective Responsive measures;3.The ability of the mainland market to absorb funds has increased;4.The mainland stock market has become more stable;5.The mainland's regulatory system has become more stringent.Finally,at the end of this article,we analyze the impact of the opening of Shenzhen-Hong Kong Stock Connect on the Mainland market and give our own suggestions.Shenzhen-Hong Kong Stock Connect is not only an important measure for further opening up of the capital market by the mainland market,but also a major measure for China to move toward the international capital market.Therefore,we must constantly improve the market supervision mechanism,conduct appropriate management of investors,prevent capital risks and prevent Exchange rate risk and strengthening the control of quotas,the "Shenzhen-Hong Kong Stock Connect" regulation,so that our economic development to a higher level. |
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