The Study Of Co-Movement Relashionships Between Domestic And Hongkong’s Stock Index

The linkage between the stock market effect is happening in the world market in the past two decades a very important economic phenomenon, but also a hot issue in recent years, domestic and foreign academic research, which describes a stock price or index with another changes in stock prices or indices phenomenon and change. Mainland and Hong Kong has long been maintained inextricably linked, especially after the reunification between the two gradually liberalized financial investment, a number of large mainland companies to be listed in Hong Kong, Mainland enterprises in Hong Kong stock market share increasing market capitalization has more than the market value of Hong Kong’s local businesses, the economic ties between the mainland and Hong Kong more closely, the two stock markets also showed a certain degree of correlation. In recent years, the mainland stock market introduced a series of important reform measures, which QF11 and QDII system has been shown to strengthen the linkage between the Mainland and Hong Kong stock market scholar. November 17, 2014 launch of Hong Kong and Shanghai through the system is bound to have a greater impact on the relationship between the two markets. Sudden policy changes may have an impact on both the capital market, if we can understand the impact of this law and the impact of contact between the two places have on the stock market, the market is conducive to investors to avoid the potential risks; help as policymakers The government’s policy to develop in line with market operation rules to ensure that both the stock market and the economy more healthy development. This paper studies the linkage between the Mainland and Hong Kong, Shanghai and Hong Kong stock market through under these purposes will.Firstly, in the retrospective analysis of the literature review related to the stock linkage between theoretical reasons and empirical research methods, and this as the theoretical basis of the impact of the Mainland and Hong Kong stock market linkage between economic factors were analyzed. Second, in the empirical part of this article, to August 29,2014 February 17 2015 in Hong Kong and Shanghai through the demarcation point is divided into three stages, on the Shanghai Composite Index, Hang Seng China Enterprises Index and using cointegration analysis, error correction model, Granger causality test, impulse response function and variance decomposition empirical analysis, and concluded:Shanghai and Hong Kong through the mainland and Hong Kong to strengthen the linkage between the stock market. Before the first phase of Hong Kong and Shanghai stock market through the opening of the two there is some linkage between stock yields benefits but spillover effect does not exist; there is no linkage between Shanghai and Hong Kong during the second stage through preparation; Shanghai in the third stage Port through linkage effects exist between the two places after the stock market opened, and there is a spillover effect earnings.