The mainland and Hong Kong with the augmentation of the financial trade links,the correlation of two capital market is also increasingly obvious.And on November 17,2014,the implementation of the system of Shanghai port on correlation of Chinese mainland and Hong Kong market has a certain influence.So the mainland and Hong Kong stock market linkage between problem is becoming more and more become the focus of the attention and research.Based on the theoretical and empirical analysis method of parallel to the mainland and Hong Kong stock market correlation analysis.In the theoretical analysis,from the economic integration,the efficient market theory and behavioral finance is analyzed from the three.Empirical analysis on opening day at the port of Shanghai as the cut-off point,using the correlation coefficient test,stability test,Johansen cointegration test,establishing the VECM model and VAR model,Granger causality test,impulse response function and variance decomposition method,for the Shanghai composite index,the shenzhen component index and hang seng index from January 2013 to March 2016 examines the correlation between,and analyzes the reasons.The research results show that Shanghai port opened after the mainland and Hong Kong stock market correlated greatly strengthened.And on the basis of this puts forward the corresponding policy recommendations. |