The Influence Of Co-movement Relationship Between Domestic And Hong Kong Stock Markets Based On Shanghai-Hong Kong Stock Connect And Shenzhen-Hong Kong Stock Connect

On November 17,2014,Shanghai-Hong Kong Stock Connect launched and on December 5,2016,Shenzhen-Hong Kong Stock Connect launched,which is seen as the most important two major reform measures and the milestone of our country stock market,following the launched of QFII and QDII systems.As a mechanism for connectivity between the two countries,the Shanghai-Hong Kong Stock Connect and Shenzhen-Hong Kong Stock Connect will inevitably have a major impact on the relationship between the mainland and the relevant markets.A + H shares,which are listed on the Shanghai Stock Exchange or the Shenzhen Stock Exchange as A shares,as well as special type of shares listed on the Hong Kong Stock Exchange.A index and H index are derived from the A+H index to measure the performance of the shares in the A-share market and the H-share market respectively.In addition,the A+H shares are all the subject of the Shanghai-Hong Kong Stock Connect and Shenzhen-Hong Kong Stock Connect,making it an excellent target for the study of how Shanghai-Hong Kong Stock Connect and Shenzhen-Hong Kong Stock Connect influence the stock market on both mainland China and Hong Kong stock markets.In this paper,in order to explore whether Shanghai-Hong Kong Stock Connect and Shenzhen-Hong Kong Stock Connect are helpful to improve the co-movement relationship between the mainland China and Hong Kong stock market,we firstly introduced the close relationship of economic and financial aspects between mainland and Hong Kong in recent years.Then,after reviewing the previous researches on Co-movement relationship,this paper analyzes the causes and influencing factors of the interactivity of stock market in the mainland and Hong Kong.Next,this paper adopts A index and H index daily closing price data between December 3,2012 and June 9,2017,and after we treat the Shanghai-Hong Kong Stock Connect andShenzhen-Hong Kong Stock Connect as two nodes,the sample data is divided into before Shanghai-Hong Kong Stock Connect,from Shanghai-Hong Kong Stock Connect launched to Shenzhen-Hong Kong Stock Connect launched,from Shenzhen-Hong Kong Stock Connect launched to now and the whole sample period.Later,we use the correlation coefficient test,stationarity test,cointegration test,granger causality test,VAR model,impulse response function and variance decomposition method,to finally found that Shanghai-Hong Kong Stock Connect did raise the co-movement relationship between mainland China and Hong Kong stock market,but Shenzhen-Hong Kong Stock Connect did not.