| Between the last decade, The stock market of Mainland China’ has made great progress, tradable share reform basically completed. The rapid expansion of the institutional equities repair defect size mainland A-share market, And gradually solve the structural unit of the company, information disclosure system is not perfect and other problems, which has been plagued by the development of the mainland stock market. Also coupled with institutional investors continue to grow, so that the mainland stock market is gradually becoming more mature.At the same time along with a number of large enterprises have chosen Hong Kong listed mainland. Mainland enterprises in Hong Kong stock market, an increasing proportion, The total market capitalization of Hong Kong-listed Chinese companies have been close to the general market capitalization of the Hong Kong stock market。In addition the Chinese government since 2002 through the introduction of QFII, QDII, RQFII system, So to speed up the pace of opening up of China’s capital market, Hong Kong stock market set up a closely relationship with the Mainland Chinese market。These systems will inevitably accelerate the exchange of the two funds。On the macroeconomic side, Two economies closer together, With the signing of CEPA 2003, Mainland to Hong Kong service fully open, Tariffs on trade in goods have all been canceled, Both to fund more frequent free movement of persons, These factors will cause the mainland stock market and the Hong Kong stock market linkage。So this article will be on whether there is correlation in both markets, if exist both correlation and in-depth study on how to change.First some important macroscopic factors of affecting correlation in both markets and economic system were analyzed in this article. Such as:in the real economy, trade between the two is high, service industry on the mainland to Hong Kong restrictions gradually reduce, In the stock market development, the development of the mainland stock market gradually improve,(The QFII system, system of QDII and RQFII, through-train, Shanghai-Hongkong system, gradually opened。) The government announced that allow individual investors to foreign direct securities investment pilot policy, the implementation of the implementation of the Hong Kong and Shanghai through the system and RQFII divided I April 26,2005 to May 26,2015, a total of 2015 set of data is into four stage, The hang seng index, shenzhen index and the h-share index respectively using cointegation test, error correction model, Granger causality test, impulse response function and variance decomposition to empirically, Concluded that appeared in different stages of different correlation. n the first two stages, the linkage effect does not exist in both markets, one of the main reasons behind this phenomenon first the two phases of the development of Chinese stock market is still inadequate, with the mature international Hong Kong stock market has a larger gap, second, mainly affected by the U.S. stock market, the Hong Kong stock market and stock market in mainland China and the U.S. stock market relevance is not big, in the end, the mainland market and Hong Kong stock market exists at this stage the larger market segmentation, the three points into action (make the mainland stock market during this period and there is no good correlation between the Hong Kong stock market. In the third and the fourth stage, appeared in the linkage effect is very good in both markets. And the fourth phase correlation is higher than the fourth phase, the mainland and Hong Kong stock market from each other is very small, the influence of the impact between both markets began to strengthen. By comparing the conclusion and against to further analysis of these results, find out the hidden reasons, respectively, the first mainland stock market reform makes the mainland market more mature in recent years, institutional investors obtained the further development of the mainland market, this makes the mature degree of the mainland market more close to the Hong Kong stock market, the second is the mainland’s trade market and the full open services markets make both deepened economic ties, and the third point is the port of Shanghai tong after the implementation of both introduced a connectivity trading system, as capital flows more frequently between both the stock market.To show up for two correlated for investors when making investment in both markets should consider both the comprehensive and considering the flow of the relationship between international stock market, especially the U.S. stock market’s influence on Hong Kong stock market, and the administrative department of the issuing work further optimization of the mainland market, at the same time should be cautious to tackle any of correlation enhancement after the increase of financial risk. |
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