The Research On The Mutual Spillover Effect Between The Chinese ’A’ Stock Market And HK Stock Market

With the rapid development of China’s economy and the promotion of reform,Hong Kong and the Mainland are more closely linked in both securities investment and commercial transactions.Shanghai-Hong Kong Stock Connect program and Shenzhen-Hong Kong Stock Connect program are important measures for China’s capital market to open up and integrate with the international capital market.By studying the link between the mainland stock market and Hong Kong stock market from 2014 to 2018,we can find two programs’ impact on the stock markets.Meanwhile,it is necessary to urge the regulatory authorities to formulate appropriate regulations and management methods to control risks.Firstly,the author introduces the background of the research,expounds the policy of Shanghai-Hong Kong Stock Connect program and Shenzhen-Hong Kong Stock Connect program and chooses Shanghai Composite Index,Shenzhen Composite Index and Hang Seng Index to represent the mainland and Hong Kong stock markets,which divides the data into three segments according to the time period,then establishes VAR model,carries out Granger causality test and impulse response function research on mean spillover effect,as well as establishing BEKK-GARCH model to study volatility spillover effect.At last,the author makes empirical analysis and draws conclusions and puts forward suggestions.Through the research,the following conclusions are drawn: first,before the implementation of Shanghai-Hong Kong Stock Exchange,the spillover effect between three stock markets was relatively weak;second,during the implementation of Shanghai-Hong Kong Stock Connect program and implementation of Shenzhen-Hong Kong Stock Connect program,the stock markets of Shanghai and Hong Kong began to show some linkage changes,while the spillover effect of Shenzhen Stock Exchange and Hong Kong Stock Exchange was still relatively weak;third,after the implementation of Shenzhen-Hong Kong Stock Connect program,the spillover effects of Shenzhen and Hong Kong markets have also been strengthened,but the spillover effects of the two markets are still mainly reflected between Shanghai and Hong Kong markets.The above conclusions reflect that Shanghai and Hong Kong Tong have positive significance in promoting stock market linkage,but Shenzhen-Hong Kong Stock Connect program still only plays a role of diversion to a certain extent.