Comparative Research On Announcement Effect Of "SHSCP" In Shanghai And Hong Kong Stock Market

The efficient market hypothesis is popular with people and getting more and more attention,research market effectiveness forms an academic boom.Market efficiency theory says new information formed in the stock market will be reflected in the price of the stock,in the existing research results,quite a part of that illustrate market effectiveness through the analysis of the announcement effect of the stock market.Correct recognition of Chinese stock market effectiveness helps speed up the perfection of China's financial market system and do an important theoretical and practical significance to the degree of opening to the outside world.The main contribution of "SHSCP" is realizing the opening to the outside world,setting up a bridge for the connection of inland and overseas market.Due to the impact of"SHSCP" on the mainland and Hong Kong markets is synchronous,and Hong Kong markets also has an intimate connection with the mainland market,which can be the most typical events on the study of the effectiveness of the mainland market.In this paper,we apply event study to analyze the difference of announcement effect on Shanghai Stock Market and Hong Kong Stock Market,to implement a full-scale research on announcement date performance of "SHSCP".This essay sets the constituent stocks of Shanghai-Hong Kong Stock Connect Program("SHSCP",Shanghai)as research subjects and utilizes the event-study approach to empirically test the announcement effects from "SHSCP" by using the daily data from 21st February 2014 to 14th January 2015.This article empirically tests the influence of the"SHSCP" announcement effect on two markets,comparing the effectiveness of the market through the reaction degree to information.And research from the perspective of empirical analysis,according to the following ideas:the first step is to test the significance of abnormal returns.Testing the abnormal yield of whole event window in two markets to the total sample first,and then the abnormal returns in the interval of the event,including the beforehand matter and afterwards,combined with the test results of a single sample in abnormal returns and trading volume on the announcement day,in order to determine whether the abnormal returns on two markets is significant or not.The second step is to test and compare the volatility of stock price of two markets,judging the information asymmetry and comparing the influence of events between the two markets.The third step is granger causality test,testing the order of the response to the information in two markets.In terms of the abnormal yield of the whole sample and single sample in the event window,the result reveals that the announcement effect in Hong Kong stock market was stronger than that in Shanghai.Both volatility test and Granger's causality test reveals that volatility in Hong Kong stock market was apparently higher than that in Shanghai.Under the premise that there is co-movement between the two stock markets,the Hong Kong stock market was more sensitive to information than Shanghai.Accordingly,this essay offers several suggestions towards improving the effectiveness of China's stock market as well as the development of"SHSCP"(Shanghai).this study enables a deeper understanding on the comparison between the announcement effects respectively in Shanghai and Hong Kong stock markets derived from "SHSCP"(Shanghai),which builds the basis for future in-depth research in this field.On the other hand,this study serves as a reference for the forthcoming "SHSCP"(Shenzhen)and in this way to contribute to the promotion of openness of mainland financial market.