Research On The Influence Of Shanghai-Hong Kong Stock Connect’s Persistent Preference On The Stock Price Fluctuation Of Listed Companies

Since the launch of the Shanghai-Hong Kong stock connect pilot project in 2014,we have successively launched Shenzhen-Hong Kong stock connect,bond connect and other measures to vigorously promote the interconnection mechanism between China and overseas markets.According to the research findings,since 2014,these financial opening-up measures have greatly promoted the domestic economic growth,at the same time,the financial opening-up measures also put forward higher requirements for the quality of information disclosure.After combing the relevant literature at home and abroad,this paper finds that there is a lack of specific empirical research on the transmission path of Shanghai-Hong Kong stock connect to stock volatility,which is also the innovation of this paper.Then,this paper combs the history and current situation of the Shanghai Hong Kong stock connect in China,and points out that the constituent stocks of the Shanghai Stock connect account for about 50%of the total stocks in the Shanghai stock market,and most of them are concentrated in the large blue chip stocks such as the Shanghai Stock Exchange 180 Index and the Shanghai Stock Exchange 380 index.At the same time,this paper also compares the differences of investor structure between China and Hong Kong market,and points out that the proportion of individual investors in Hong Kong stock exchange is far less than that in Shanghai Stock Exchange of China,and this kind of investor structure is one of the reasons for the difference of volatility between the two markets.Then,based on the theory of behavioral finance,this paper points out that the investors’ greed and fear will enlarge the market volatility and the structure of different types of investors in different markets will lead to different market volatility showing different characteristics.Then,this paper puts forward two hypotheses based on the difference of investor structure between China and Hong Kong and the difference of stock market volatility between the two places.Finally,according to the research purpose and hypothesis,this paper builds two models to study the impact of Shanghai-Hong Kong stock connect on stock market volatility and the specific transmission path of the impact of Shanghai-Hong Kong stock connect on volatility.Through the empirical study,we find that the Shanghai Hong Kong stock connect can promote the volatility of the stock market in the short term,but inhibit it in the long term.Further research on its transmission mechanism shows that the stock market volatility is mainly reduced by the impact of the stock market investor structure.Finally,this paper summarizes the empirical results and puts forward some policy suggestions to promote the sustainable opening of China’s stock market.