| Hong Kong is one of the important international financial centres,the main preferred place for Chinese enterprises to list overseas,and the main channel for foreign capital to enter China’s capital market.In particular,with the opening up of China’s capital market to the outside world and the gradual strengthening of the degree of economic integration of Hong Kong on the mainland,there have been some noteworthy new trends in the stock markets of the mainland and Hong Kong.At the same time,China’s capital market is also opening up step by step with the pace of reform and opening up,and measures such as QFII,QDII,Shanghai-Hong Kong Stock Connect have been introduced to further open up the capital market.Therefore,studying the linkage between the stock markets of Shanghai and Hong Kong is of great significance for the opening up of China’s capital market.This paper first systematically sorts out the relevant literature on the limited opening of the capital market and the linkage of the stock market,and the existing literature shows that scholars have studied the linkage of the stock market more,but there are fewer research literature on the impact of major social events on the linkage and the long-term linkage between the Shanghai and Hong Kong stock markets.Therefore,this paper first defines the concept of story linkage,and secondly,on the basis of the economic basis hypothesis,the market contagion hypothesis,the main factors affecting the linkage of the stock market,and the transmission path of the linkage of the Shanghai-Hong Kong stock market,the hypothesis of this paper is proposed.Then,the Shanghai Composite Index and the Hang Seng Index,the daily return of the State-owned Enterprises Index,and the single-day net purchase amount of the northbound funds and the southbound funds were selected as the research objects,and the research period was from July 1,1997 to June 30,2021,and the DCC-GARCH model was applied to investigate the linkage between Shanghai and Hong Kong,and the structural mutation point test was carried out by the modified ICSS algorithm,the results of the DCC-GARCH model were verified,and the linkage between the Shanghai and Hong Kong stock markets was explored in many aspects.The results show that(1)the two stock markets of Shanghai and Hong Kong are linked,and with the passage of time,the dynamic correlation fluctuations increase;(2)the occurrence of different social events will affect the correlation between the two stock markets of Shanghai and Hong Kong;(3)the linkage between Shanghai and Hong Kong shows time-varying,not static,but with the continuous development of the economy of Hong Kong,China,the connection is constantly close and dynamically changing.Based on this,this article puts forward the following suggestions: On the one hand,for policy makers,it is necessary to consider the stock markets of the two places as a whole,and when formulating any policy on the mainland stock market or the Hong Kong stock market,it is necessary to consider the fluctuations that may be brought to the other market;continue to actively promote shanghai-Hong Kong stock markets,CEPA and other policies that are conducive to the two stock markets of Shanghai and Hong Kong,and actively promote the common development of the two stock markets of Shanghai and Hong Kong;steadily promote the reform of the securities market;and the government should prudently guard against adverse impacts on the mainland stock market by the international capital market.On the other hand,for investors,investors should rationally construct a cross-market portfolio,fully consider the linkage and time-varying nature of the stock market,conduct qualitative and quantitative analysis,and formulate a more reasonable investment strategy on this basis;according to the risk changes between markets,rationally construct their own portfolios,predict stock market trends,and share the benefits brought by financial reform. |
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