At The Same Time Under The Background Of Opening Ah Shares Of Correlation Research

The linkage between A shares and H shares has been always the major concern forthe government, investors and scholars. Scholars have done a lot of theoretical andempirical researches on this issue. From the March 7, 2011, A-share market and HongKong stock market open at the same time. In this context, this thesis makes asummary of the literature and theories studied before on the topic of stock linkage.And then it selects 62 A+H shares which have transaction data between September 7,2010 and September 7, 2011. The thesis separates these 62 shares into two parts bythe point of the date, March 7, 2011. Obviously, there is a semi-annual transactionbefore and after the point. Then it provides a basis for this paper to collect theircorresponding opening price, closing price, the volume in the daily data. On the basisof the data, the thesis works out two price indexes, named as the opening price indexand the closing price index that are the main objects of my paper.In the first part, this paper makes an overall analysis in the hall year. According tothe dividing point of March 7, 2011, I then divide the indexes in two phases as beforethe same time opening and after the same time opening. I make the empirical study onthe linkage between A shares and H shares price index by the use of econometricmethods. The methods are: correlation coefficient test, the ADF data stationarity test,data cointegration test, the VAR model, impulse response function analysis, variancedecomposition, and so on. Through empirical analysis, I draw the followingconclusions: (1) In the hall year, from March 7, 2010 to March7, 2011, there is astrong linkage relationship between the share price of A shares and H shares. (2) Afterthe same time opening, the relationship of linkage between the A shares and H sharesof stock has been improved. (3) The driving effect of the A shares price to theH-shares price appears more obviously. That is, the linkage of the H-shares price tothe A shares price becomes strongly. Finally, on the basis of theoretical and empiricalresearch, this paper comes to draw three proposals, including advices to policydevelopment, advices to investors and advices to future academic researches on theproblem of linkage between A shares and H shares.