An Empirical Study On The Impact Of Shenzhen-hong Kong Stock Connect On The Heterogeneity Fluctuation Of GEM Stock Price

Currently,relevant departments of the Chinese government are actively researching and launching relevant measures to deepen the opening of the capital market.For example,further optimizing the connectivity of the capital markets between the mainland and Hong Kong,enhancing risk prevention and supervision capabilities in the context of expanding opening up,reflects China’s overall requirements for the construction of a new round of high-level opening up system.The "Shenzhen Hong Kong Stock Connect" policy,as an important part of the new round of high-level opening up system construction,can promote the improvement and development of the mainland capital market.At the same time,the inclusion of GEM stocks in the Shenzhen Stock Connect standard is also a characteristic of this policy.The inclusion of the Chi Next in the Shenzhen Stock Connect is also a characteristic feature of this policy.However,it should also be noted that the policy of opening up to the outside world has increased the possibility of the mainland capital market being infected with international financial risks,and the health and stability of the stock market can be measured by the volatility of stock price heterogeneity.Therefore,based on the perspective of stock price heterogeneity fluctuations,this article conducts an in-depth study on the impact of the "Shenzhen Hong Kong Stock Connect" on the stock price heterogeneity fluctuations of the Growth Enterprise Market.At the same time,it also finds that the policy effect has heterogeneity,which helps the normal operation of cross-border investment and financing activities,creates a predictable regulatory and institutional environment,and has important significance for investors and regulatory institutions.In this paper,the standard deviation of the residuals of the Fama-French three-factor model is used to estimate the "share price heterogeneity volatility",and the initial sample is all companies listed on GEM from 2014 to 2019,excluding those listed after December 2016,financial sector,ST and missing financial data;then logit logistic regression was used to screen matching variables,and propensity score matching(PSM)was used to match the experimental group with a suitable control group;after that,double difference model model(DID)was applied to extract the net effect of the policy and do robustness test;finally,the heterogeneity of impact pathways and policy effects were further analyzed.It is found that: firstly,the opening of Shenzhen-Hong Kong Stock Connect exacerbates the heterogeneity of GEM stock price volatility;secondly,the policy effect has a lag,and the effect of Shenzhen-Hong Kong Stock Connect on the heterogeneity of GEM stock price volatility is limited in the two quarters after the implementation of the policy;as the policy advances,the effect becomes significant and significant.Third,the impact of Shenzhen-Hong Kong Stock Connect on the heterogeneity of GEM stock price volatility is mainly dependent on the noise effect;fourth,the policy effect of ShenzhenHong Kong Stock Connect is more significant in the sample with high corporate governance.According to the above empirical results,this paper proposes corresponding countermeasures for the three major market participants respectively.First,small and medium-sized investors should actively study the system and policies related to "Shenzhen-Hong Kong Stock Connect",pay attention to the dynamics of listed companies,actively participate in investor education,establish rational investment concepts,improve financial literacy and investment level,and become a mature and rational investor.Second,it is suggested that the relevant regulatory authorities should improve the information disclosure system to reduce information asymmetry;identify short-term speculators through advanced technologies such as big data and restrict their short-term speculative behavior;appropriately relax the restrictions on the shorting mechanism and enrich risk hedging tools to increase the GEM’s ability to withstand risks;strengthen the regulatory cooperation between the Mainland and Hong Kong and learn from the experience of mature capital markets.Thirdly,GEM listed companies should strengthen system learning and pay attention to changes in the external environment;consciously standardize information disclosure and strengthen investor relations management;establish a sense of compliance and take the route of sustainable development.