The Study Of A-share Investor Behavior In Mainland Stock Market Under The Background Of "Shanghai-Hong Kong Stock Connect Program"

For the Chinese asset market investors, the most popular topic in2014is“Shanghai-Hong Kong Stock Connect program”. In April2014, the stock Exchange andSecurities Regulatory Commission of both sides issued a series of policy documents on the“Shanghai-Hong Kong Stock Connect program”. Then many simulation tests were prepared.In November17th,“Shanghai-Hong Kong Stock Connect program” was finally operated.Chinese stock market is not mature and the investor is always irrational. So it is veryimportant to study the investment behavior in the new situation. By studying the investors canknow more about themselves and act well to the risk of stock market. Behavioral finance isdifferent from the traditional financial theory. It combines the disciplines offinance, sociology and psychology. It is a hot topic in the financial fields. Behavioral financetheory argues that investors are irrational when they make invest. The investor behavior is notonly affected by the objective factors of the securities market, but also depends on theinvestor’s subjective emotion. So, the investment may cause abnormal volatility of stockmarket.This dissertation studies the behavior of A-share investors under the background of“Shanghai-Hong Kong Stock Connect program”, according to the theory of behavioralfinance. Firstly, I analyzed the present situation of share prices and trading volume. Throughthe analysis I found the shares is rising and become activated under the “Shanghai-HongKong Stock Connect program”. Then, this dissertation study the impact of “Shanghai-HongKong Stock Connect program” and the reaction of investors by the event analysis, especiallythe analysis of the A-share price volatility, trading volume and turnover rate. Results showthat, the “Shanghai-Hong Kong Stock Connect program” produced good impact on theA-share market and the investors showed obviously behavior characteristicsof overconfidence and overreaction.Secondly, an empirical of the investor emotion and the stock index returns was made.This dissertation selects the new stock account as measures of investor sentiment.Based on the sequence of stationary test, this dissertation build a VAR (vector autoregression) model of the investor sentiment and stock return rate, considering the differenceof large-cap mid-cap and small-cap. The results show that, between investor sentimentand stock returns have interacted positive effect. Through the granger causality test, provedthat the yield of the stock granger cause the change of investor emotion, especially under thebackground of “Shanghai-Hong Kong Stock Connect program the large-cap and mid-cap have grater impact on the investors emotion. The stock market returns are insensitive to theinvestor sentiment. Finally through the impulse response analysis found that stock returns toinvestors short-term sentiment has prediction function.The results of this study may be different from studies before.“Shanghai-Hong KongStock Connect program” make the mainland market open to the international market. A largenumber of international capital and experienced international investors come to our stockmarket, which causes the investors emotion, no longer change rapidly. But make rationalinvestment. This research and the results of this dissertation are consistent.Through this study, on one hand, investors can strengthen risk awareness and learn moreabout themselves. By correct their irrational behavior reducing investment risk; on the otherhand, the research can provide policy guidance for supervision department.