The Study On Risk Measurement In Shanghai Secrurity Markets During The Connectivity Mechanism For Shanghai-Hong Kong Stock Connect Program

Hong Kong and Shanghai stock connect program was officially launched in November 17 th 2014, which is an important part of the liberalizition of chinese capital market. The connectivity mechanism for Shanghai and Hong Kong market will expand the trading share for china in the international monetary system, and accelerate the process for internationalization of china. Hong Kong and Shanghai stock connect program is so helpful for the domestic individual investors to have more overseas investment; Hong Kong and Shanghai stock connect program can also solve the phenomenon of "the same shares with different price" for the two stock markets, it can still promote the liquidity for two markets,and also can connect the two capital markets; in short, it will have a certain impact on China’s capital market’s liquidity and rate. But at the same time, there will exist some potential risks, so we should keep an eye on the funds of abnormal fluctuations to prevent the impact from the foreign financial crisis, in view of the expanded exchanging rate of the RMB. Those investors are facing the enhanced uncertainty,so the basic method to prevent that uncertainty is to measure the quantity of the value of risk.The study on risk measurement in shanghai security market is based on the GARCH-model and VaR model in semiparametric method during the connect program of Shanghai and Hong kong markets.We select the daily reture in Shanghai stock market as the raw data to quantify the risk in the Shanghai stock market in China.First of all,the empirical results show that the VaR of SSE 180 Index shows abnorma on December 9th,2014, and December 24 th,and at the same time, the VaR of SSE 380 index appeared significantly increase in the December 8th, 19 th, 22nd2014. Secondly, the distribution for var in SSE 180 Index and the SSE 380 index in skewness and kurtosis shows vary slightly, but the mean and variance in the afterwards window appeared a raise. It shows that the Shanghai and Hong Kong stock connect program have caused some the impact on the Shanghai market, and data on the window afterwards appeared significantly improvment of risk.