Study On The Co-movements Of A-shares And Hong Kong Stocks From The Perspective Of Shanghai-Hong Kong And Shenzhen Hong Kong Stock Connect Program

China's A-share securities market is relatively closed due to its limited initial level of development,government capital controls,and openness.Therefore,the linkage between the A-share market and the mature and open Hong Kong stock market is not strong.The opening of the Shanghai-Hong Kong Stock Connect in 2014 and the Shenzhen-Hong Kong Stock Connect in 2016 has greatly enhanced the connection between the Mainland and Hong Kong.On the one hand,it has deepened the standardized reform of the mainland securities market,strengthened the connection between the capital markets of the A-shares and the Hong Kong stocks,and allowed China to truly open its capital to the outside world.On the other hand,it promoted the integration of A shares with international valuations.Since blue chips have premiums that are common features of mature markets such as the United States and Hong Kong,A shares must move closer to this direction in the future.The trend of continuous improvement in the linkage between A-shares and Hong Kong stocks,and the study of the linkage between A-shares and the Hong Kong stock market have important practical significance for government departments and investors.First of all,this article collates the related literature on stock market linkage: First,the linkage between stock markets is a process that changes from linkageless to linkage;Second,the index linkage between the more mature stock markets is stronger than the index linkage between the relatively immature stock markets;Third,with the development of the economy,the relationship between the relatively low maturity of the securities market and the mature securities market is continuously increasing.In the second part,this paper analyzes the causes of the stock market linkage from three perspectives: behavioral finance theory,economic integration theory and effective market theory.Then,because of the difference in the structure of traders in the mainland and Hong Kong securities markets,the A-share market is dominated by individual retail investors,and the Hong Kong stock market is dominated by institutional investors because it is a mature capital market.On the other hand,the Mainland and Hong Kong have also cooperated several times in financial services,financial infrastructure and financial supervision,which are conducive to thecommon development of the two places.This part is a fundamental analysis of the stock market of A-shares and Hong Kong stocks.The fourth part is to conduct empirical model construction and result analysis.This article selects the daily closing price of the interoperability mechanism from November 17,2012 to December 31,2017 as the basic data.And based on the opening date of Shanghai-Hong Kong Stock Connect on November 16,2014,the basic data was divided into one phase and two phases for empirical test,and the results were compared.Select the Shanghai 50 Index,Shanghai 180 Index,Shanghai Stock Index,Shenzhen 100 Index,Shenzhen Component Index,China Securities 100 Index,China Securities 500 Index and Hang Seng Index as targets.Then,I process the data to generate a logarithmic sequence and a profitability sequence.This paper first uses the ADF unit root to test the stationarity of log-series and yield series data.Then use the cointegration test to verify the long-term linkage between the A-share index and the Hong Kong stock index.Then use the Granger causality test to test the short-term linkage between each A-share sub-index and the Hang Seng Index,respectively.Finally,use the impulse response function to test the short-term orientation of the A-share securities market to the Hong Kong stock market.The research results show that the linkage between Shanghai Stock Exchange 50,Shanghai Stock Exchange 180,China Securities 100 and Shenzhen Stock Exchange Index and Hang Seng Index after the implementation of the interconnection mechanism has been significantly enhanced,and the effect of A Shares Hong Kong shares is obvious.In the last part,this paper summarizes the empirical results,and proposes separate recommendations for the government and investors on the results and policy effects.