The Linkage Analysis Of Chinese A-share Market And Hong Kong Stock Market

In recent years, China has achieved remarkable development in the stock market, the split share structure reform has been basically completed ,and the stock market system defects have been repaired .The stock market step by step into the full circulation times, it has expanded rapidly and rationalize the structure of listed companies, institutional investors continue to develop and grow. the mainland stock market is gradually becoming more mature. With the number of large Mainland enterprises listed in Hong Kong after another, the Mainland enterprises in Hong Kong stock market, an increasing proportion of market value exceeds the market value of local enterprises in Hong Kong the same time, closer economic ties between the two movements of capital are also more frequent and free. Therefore, this article will be the existence of two stock markets as well as in-depth study of sexual interaction.In this paper, the general situation of the two stock markets, and research methods were introduced. Then on this basis, using the stock market took place in the mainland a few important events: "Qualified Foreign Institutional Investors Interim Measures on Management of Domestic Securities Investment" was promulgated, the split share structure reform, announcing it would allow individual investors, foreign direct investments in securities policy and the pilot People's exchange rate policy reforms, to January 4, 2000 -2,009 years, December 31 is divided into four stages of the Hang Seng Index, the Shanghai Composite Index and H-index were used to test cointegration, VECM model, Granger causality test, impulse response functions and variance decomposition of empirical test. The conclusion is: the mainland stock market and the Hong Kong stock market linkage between them growing. In the first two phases, the linkage effects of the two stock markets is not obvious, in the first three stages, the two stock markets have a certain extent linkage effects, and mainly manifested in the mainland market impact of Hong Kong's stock market, while at the 4th stage, linkage between the two stock markets strengthened. From the interaction point of view, the mainland market for Hong Kong stock market impact has been gradually increasing, while the Hong Kong stock market has little effect on the mainland stock market. In response to these findings and further analysis of the reasons for this, and for investors and management were put forward some suggestions.