Research On The Linkage And Investment Strategy Between The Mainland And Hong Kong Stock Markets Under The Background Of Interconnection

In order to steadily promote the opening up of China's capital market and enhance the interconnection between the mainland and Hong Kong stock markets,China has successively launched the Shanghai-Hong Kong Stock Connect and Shenzhen-Hong Kong Connect interconnection mechanisms.The interconnection mechanism not only deepens the interconnection between the mainland and Hong Kong stock markets,but also expands the investment channels of capital market participants,and also increases the supervision of regulators.Therefore,it is very important to study the linkage and investment strategy of the mainland and Hong Kong stock markets.This paper takes the linkage between the mainland and Hong Kong stock market as the research object.By combing the domestic and foreign scholars' research on the linkage of stock market,it is found that the stock market linkage mainly includes the linkage of the rate of return and the volatility linkage.It also finds that it can be constructed based on the linkage of the stock market.Paired trading" investment strategy.In order to evaluate the impact of the interconnection mechanism on the linkage between China's domestic market and Hong Kong's stock market,this paper studies the linkage between the mainland and Hong Kong stock markets from the perspectives of yield and volatility.For the linkage of profitability,this paper constructs the VAR model to analyze the impulse response function and variance decomposition of the stock market's stock price series.For the volatility linkage,this paper constructs the DCC-GARCH model and the GARCH-Copula-Co Va R model respectively.The empirical analysis of the volatility correlation and risk spillover effects of the stock market's return rate series.First,the conclusions of the linkage rate study are as follows: First,the mainland and Hong Kong stock markets have mutual influence;second,Shanghai-Hong Kong Stock Connect has strengthened the linkage effect between the mainland and Hong Kong stock markets,while Shenzhen-Hong Kong Stock Connect has weakened the mainland and Hong Kong.The stock market linkage effect,but the stock market linkage effect is still stronger than before the launch of Shanghai-Hong Kong Stock Connect;third,Shanghai-Hong Kong Stock Connect is stronger than Shenzhen-Hong Kong Stock Connect's influence on Shanghai-Hong Kong stock market.Shenzhen-Hong Kong Stock Connect is stronger than Shanghai-Hong Kong Stock Connect's impact on Shenzhen-Hong Kong stock market.Secondly,for the volatility linkage,the conclusions of the volatility correlation study are as follows: First,the interconnection mechanism improves the volatility correlation between the mainland and Hong Kong stock markets;second,the interconnection mechanism makes the correlation between the mainland and Hong Kong stock market volatility continue.The nature is gradually consistent,and has relative stability and strong correlation.Third,Shanghai-Hong Kong Stock Connect has a stronger influence on the correlation between Shanghai and Hong Kong stock market volatility,and ShenzhenHong Kong Stock Connect has a stronger influence on the correlation between Shenzhen and Hong Kong stock market volatility.The conclusions of the risk spillover effect are as follows: First,there is a two-way risk spillover effect between the mainland and Hong Kong stock markets.Second,Except for Shanghai and Shenzhen-Hong Kong Stock Exchange,which weakened the risk spillover effect of Shanghai stock market on Hong Kong,the interconnection mechanism has strengthened the risk spillover effect of the mainland and Hong Kong stock markets.Third,Shenzhen-Hong Kong Stock Connect has more influence in the Shenzhen-Hong Kong market.The comprehensive study found that the interconnection mechanism has enhanced the linkage effect between the mainland and Hong Kong stock markets.The mainland and Hong Kong stock markets have gradually merged and initially have a common market effect.Finally,based on the synergy between the mainland and Hong Kong stock markets,this paper studies the long-term equilibrium relationship between the mainland stock market CSI 300 ETF(159919.SZ)and the Hong Kong stock market Hang Seng ETF(159920.SZ)based on cointegration theory.The ratio of the two hedges is ?=1.13106.The GARCH(1,1)model is used to simulate the time-variance variance of the spread sequence,and the optimal threshold k=0.66 is obtained.Based on this,the trading signal is determined and the trading strategy is constructed.The outside has achieved a good arbitrage effect: the sample/coating profit rate is 45.76% and 60% respectively,the yields are 3.52% and 4.52% respectively,and the annualized yields are 3.89% and 6.89% respectively.In addition,based on the empirical results,this paper proposes some policy recommendations for investors and managers.Investors need to improve their investment expertise and focus on stock market risk contagion;managers need to close economic exchanges between the mainland and Hong Kong,deepen capital market opening,and strengthen joint supervision.