The Mechanism And Empirical Study Of The Influence Of Institutional Opening Of Capital Market On The Volatility Of A Share Market

In December 2018,the Central Economic Conference proposed the "transition from fluid opening-up to institutional opening-up",marking that China’s capital market has officially entered the "New Dollar year" of institutional opening-up.Since 2019,the state has implemented a series of institutional measures to open up the capital market.With the strengthening of the capital market opening to the outside world,the way of introducing foreign capital presents more diversified and standardized characteristics.Compared with the formal entry into the institutional opening stage of the capital market,the scale and number of foreign ownership in the A-share market is also increasing,and the volatility of the A-share market has produced A more significant impact.In order to verify the impact of the new stage of institutional opening up of the capital market on the volatility of the A-share market,this paper takes the "Shanghai-Shenzhen-Hong Kong Stock Connect" policy as an exogenous experiment,and explores the impact of the Shanghai-Shenzhen-Hong Kong Stock Connect policy on the volatility of the A-share market through the DID-FE model in the "New dollar year" of institutional opening up of the capital market.Robustness analysis is used to ensure the accuracy of experimental results.The results show that after the capital market officially entered the institutional opening,the stock price volatility of the underlying stock through the Shanghai and Shenzhen Stock Connect significantly intensified in the short term.Through empirical analysis,it is found that:(1)the institutional opening of the capital market will be uncertain in the short term,and the volatility of the underlying stocks of the Shanghai-Shenzhen-Hong Kong Stock Connect will be intensified,which will further aggravate the volatility of the A-share market;(2)According to the regression results,the market capitalization of foreign institutional investors can inhibit the impact of institutional opening of Chinese capital market on the volatility of A-share market;(3)From the perspective of the intermediary effect channel of investor sentiment,the mechanism of investor sentiment of the Shanghai-Shenzhen-Hong Kong Stock Connect is different.The investor sentiment mechanism of the Shanghai-Hong Kong Stock Connect is relatively perfect,and the investor sentiment of the Shanghai Stock market can restrain the volatility of the A-share market.The investor sentiment mechanism of Shenzhen Stock market is not perfect,which will promote the volatility of the stock market.(4)From the intermediary effect channels of the linkage between stocks and bonds,the linkage mechanism of stocks and bonds in Shanghai and Shenzhen is not perfect,which will promote the volatility of the A-share market.Finally,this paper provides corresponding policy suggestions on how to trigger the huge volatility of the A-share market by the institutional opening of the hedge capital market:(1)Optimize the stock-bond connectivity mechanism;(2)Optimize investor sentiment mechanism;(3)Accelerating the implementation and definition of the foreign short-term trading system;(4)Relaxing market access conditions,policies and regulations;(5)Improve the overall quality of listed companies and enhance the attraction of capital;(6)Improve the risk prevention and control system,and balance openness with security.