| The road of economic development in New China has gone through twists and turns,A-share market has always been in much restriction.With the increasing trend of economic globalization,the economic and trade cooperation between Chinese mainland and Hong Kong has become more frequent,A series of innovative policies,including the Shanghai-Hong Kong Stock Connect program、Shenzhen-Hong Kong Stock Connect program,have been introduced successively,and the appropriate financial opening up has made the connection between A-share market and Hong Kong stock market increasingly close.Since the end of 2019,Covid-19 has spread to many countries around the world.In March 2020,the World Health Organization declared Covid-19 to be a global epidemic,Many industries in Chinese mainland and Hong Kong have been severely affected by the epidemic,while the stock market is a barometer of the economic and financial market,under the new international situation,it has unique significance to explore the comovement between A-share market and Hong Kong stock market.During this paper,we will dissect the possibility of comovement between the three stock markets of Chinese mainland and Hong Kong in terms of economic theories and realistic connection,taking the opening of Shanghai-Hong Kong Stock Connect program and Shenzhen-Hong Kong Stock Connect program as the time dividing points,through Johansen co-integration test and Var model,we can see that Shanghai-Hong Kong Stock Connect program can increase the comovement between Chinese mainland and Hong Kong stock markets,while the opening of Shenzhen-Hong Kong Stock Connect program has less impact on the comovement between A-share and Hong Kong stock markets.After the opening of Shenzhen-Hong Kong Stock Connect program,the comovement between A-share market and Hong Kong stock market has been improved compared with that before the opening of Shanghai-Hong Kong Stock Connect program.In addition,a Var model is built for the short-term data in the two periods of the Hong Kong stock market crash and A-share surge after the spread of Covid-19,It is found that during the Hong Kong stock market crash,Chinese mainland took great impact to Hong Kong market and the comovement between them was enhanced,Similarly,the Hong Kong and Shanghai stock markets during A-share surge,from the capital flow analysis of the two periods,we can see that the opening of Shanghai-Hong Kong Stock Connect program and Shenzhen-Hong Kong Stock Connect program is a mixed blessing.Based on the results,this paper make some suggestions that internationally the supervisory authorities should strengthen its supervision of the capital markets and introduce more policies conducive to the free and orderly flow of capital,domesticly the diversified development of Shanghai and Shenzhen stock markets should be supported,and the participants of Hong Kong stock market should be allowed a diversified access.For investors,it is hoped that when investing in cross-border asset,besides the fundamentals of the company,they also need to pay attention to the policies of the international and domestic markets,and bone up on professional knowledge,When facing public health emergencies such as Covid-19,the ability for risk assessment and prevention is helpful. |
PDF Full Text Request