The Impact Of "Shenzhen-Hong Kong Stock Connect" On The Heterogeneous Volatility Of GEM Stock Prices And Its Way

As one of the important policies of opening up the capital market in China,while promoting the continuous improvement and development of China's capital market,it also increases the possibility of international financial risks infiltrating into China.Studying the impact and mechanism of the implementation of Shenzhen-Hong Kong Stock Connect on the heterogeneity fluctuation of the stock market in the GEM will help to examine the policy consequences and guide the improvement of Shenzhen-Hong Kong Stock Connect policy.This paper divides GEM stocks into two groups: Shenzhen-Hongkong Stock Connect trademark stocks(experimental group)and non-trademark stocks(screening group).Firstly,through the establishment of Logit model,we can identify which variables can significantly improve the possibility of GEM stocks entering Shenzhen-Hongkong Stock Connect,and use these variables as matching variables.Secondly,the propensity score matching(PSM)was used to match the most suitable control group in the screening group.Thirdly,using the matched experimental group and the control group,a difference in difference model(DID)was established to analyze the net policy effect of Shenzhen-Hongkong Stock Connect on the stock price heterogeneity fluctuation,and the differences in the degree of policy response of different stock price heterogeneous fluctuation proxy variables was studied comparatively,the change of policy net effect after controlling time trend difference and industry difference is also further studied.Furthermore,use changing the calculation method of stock price heterogeneity fluctuation,eliminating the policy implementation period,piecewise regression and placebo test to offer more robustness.Finally,the influence way is further analyzed.The study finds that the Shenzhen-Hongkong Stock Connect has significantly enhanced the stock price heterogeneous fluctuation,but this effect is not significant in the initial stage of policy implementation;with the promotion of policy,the effect of policy enhancement begins to be significant,but in the later stage,the magnitude of enhancement has a downward trend;after eliminating the impact of the stop-and-fall system,the effect of Shenzhen-Hongkong Stock Connect on the enhancement of the stock price heterogeneous fluctuation in the experimental group is more obvious;after controlling the time trend difference and industry difference,the enhancement effect of ShenzhenHongkong Stock Connect on stock price heterogeneous fluctuation is reduced;it is further found that the stock price heterogeneous fluctuation in China's GEM stocks reflect market noise,and the Shenzhen-Hong Kong Stock Connect policy has increased market noise,thereby enhancing stock price heterogeneity fluctuation.