Research On The Linkage Between A+H Bank Shares

In recent years, China’s capital market developed from small to large,hasexperienced the development process which system of laws and regulations becomemore and more perfect。up to this day, it has become an important part of the socialistmarket economy system in china. The same with some foreign countries, therelationship between the capital market in different area of China also produced verybig change with the effect of some important events. In April16,2010，theintroduction of stock index futures is a major event in our securities market, it notonly allows investors to hedge to avoid investment risks, but also enhance markettransparency, reduce the volatility of the stock market to help the market remainedstable. In addition, the economic ties between Hongkong and the mainland hasbecome more and more closely, Mainland enterprises′financing speed In H sharemarket is accelerating, capital market and stock market′s relationship between twoplace has gradually strengthen。Development so far, banking stocks which occupy alarge proportion in Shanghai and Shenzhen stock markets are mostly financing in theH-share market。Therefore, it has a very important significance to study the linkage ofA+H bank shares before and after the launch of stock index futures。This paper make the time that launch of stock index futures as a dividing line,the whole period is divided into two stages：stage I，from September25,2007to April15,2010(before the launch of stock index futures); stage II，from April16,2010toMarch26,2012,(after the introduction of stock index futures)。By choosing six A+Hbanks (ICBC, construction bank, Bank of communications, China Merchants Bank,CITIC Bank and Bank of China)，and make the daily transaction data as base，withreference to the Shanghai and Shenzhen300index compilation method to establish aindex, This paper establish structural vector autoregressive model to study linkagebetween the two banks. The study found：（1）During the study period, between two A+H banking stocks are showingmutual influence relations。 （2）The H bank index variance contribution to the A bank index fluctuation islarger than the A bank index variance contribution to the H bank index fluctuation。（3）Compared with the first stage, the second stage A bank stock price index inthe short term impaction on the price index of H bank shares increased。while eitherin the short term or long term，the H bank stock price index effect on A bank stockprice index fluctuation has weakened.