The Co-Movement Study Between Mainland Stock Market And HK Stock Market

With the advancing of stock right decentralized allot revolution and the setting up of growth enterprise market in Shenzhen,the stock market of mainland is becoming more and more open in China.On July 15,1992,Tsingtao Beer Stock company took the lead in investing H-shares listed on the SEHK. Since 2005,our four state-owned commercial banks and an army of large mainland enterprises have been issuing A stocks and H stocks in succession,which makes mainland enterprises play a very important role in SEHK. After the signature of CEPA between the central government and the HKSAR,the two areas developed a closer relationship.An army of large mainland enterprises applied for IPO in HK and market capitalization have exceeded that of HK enterprises,which makes HK share market "mainlandlise".Under such a background,this essay makes in-depth research of the co-movement between mainland stock market and HK stock market.This paper selects Shanghai Composite Index and Hang Seng Index as the research object, between January 4,2000 and January 29,2010.The data samples are divided into two stages by the stock right decentralized allot revolution. We use the unit root test and cointegration test to study their smoothness and the existence of cointegration relationship.Then,this paper establishes ECM models on the basis of the first difference.Finally,this paper use variance decomposition and impulse response function to analyse of the stock market when the two exogenous variables are the response after impact and impact on theirlinkage between the relations.The conclusion is that:comovement exists only in stage 2,not in stage 1.From the interaction point of view, there is not too great impact between the mainland stock market and the Hong Kong stock market.Meanwhile, this paper analyses the cause and points out the disadvantage of the paper and the vision for the future.