Emprical Study Of The Impact On Chinese Medium Plate Market Of Shanghai-Hong Kong Stock Connect Program

Shanghai-HongKong connect program has more than one year since the opening of the November 2014. After the Asian financial crisis and the global financial storm, China has been exploring how to gradually open up the capital market in a safe and controlled manner,since the reform and opening up. After a long period of exploration, Shanghai-HongKong connect program has been identified as an ideal initial open path. As an important part of China’s capital market, the medium plate market plays an important role in the process of building a multi-level capital market and promotes the continuous improvement of the structure of China’s capital market. At the same time, the medium plate market in the process of resource allocation has played a good role in regulating, and it promotes the industrial structure of the balance. To explore the impact of Shanghai-HongKong connect program on the medium plate market in recent years has important theoretical and practical significance for promoting the steady development of the medium plate market and promoting the further improvement of China’s capital market.First this thesis produced the domestic and foreign scholars about Shanghai-HongKong connect program empirical analysis and summary, then produced the empirical analysis part of the time series model (including ARMA,GARCH,VAR, etc.) and related theory in this thesis.In the empirical analysis, before and after the introduction of Shanghai-HongKong stock connect program, we conducted a descriptive statistical analysis of the medium plate market index, and preliminary comparison of the similarities and differences between the two time series.Then, with the opening time of Shanghai-HongKong stock connect program as the dividing point, the MA(4) models and ARMA(4,10) models were established for the log return series of the medium plate market index. We confirmed that after the opening of Shanghai-HongKong stock connect program, the non effectiveness of the medium plate market index is strengthened, and the ARCH-LM test further found that the log return series of the medium plate market index has heteroscedasticity. In order to fit the data more accurately,we establish ARMA-GARCHmode. And by establishing the ARMA-TGARCHmodel and the ARMA-EGARCH model, it is proved that the medium plate market has the "leverage effect" which is common in financial markets.In order to further explore the influence of Shanghai-HongKong stock connect program on the medium plate market.In this thesis, we establish the vector auto regression model (VAR) and impulse response function and variance decomposition and Granger causality test to analyze the linkage between the SH Equities、HK Equities and the medium plate market. The results show that the impact of SH Equities on the medium plate market index is the most strong, and the direction is positive, HK Equities and has a certain impact on the SH Equities, but the HK Equities is only affected by itself.