Study On The Correlation Of China's Shanghai And Shenzhen And Hong Kong Stock Market

Under the background of economic globalization, a country is no longer completely isolated economies, worldwide, economic and trade links between countries more and more frequent, such a link in the stock market has become increasingly evident. To belong to Port of Shanghai and Shenzhen stock markets, the Shanghai and Shenzhen stock markets both are in mainland China, their economic, political and legal environment is similar, the impact of the regulatory environment, the changes in the stock market, the quality of listed companies Investors structure and governance structure are similar or even identical, hence the relevance of these two stock markets have an enormous impact. As for the Hong Kong stock market, since the 1997 handover,Chinese Hong Kong and mainland China economic trade increasingly frequent, increasingly tied,introduced many changes in the implementation of the policy and economic environment of the three cities will have two some influence, making its regulatory,economic background, structure of listed companies, investors structure and corporate governance are becoming more similar.In this paper, Shanghai, Shenzhen, Hong Kong's three stock market correlation,sample indicators used for the Shanghai Composite Index(SH), during the Shenzhen Component Index(SZ) and the Hang Seng Index(HK) daily closing price, the study was January 4th, 2000 to March 10 th, 2016, on the Shanghai composite index, the correlation between Shenzhen and Hong Kong Hang Seng index constituent stocks of doing empirical research methods used for the co-integration analysis, Granger causality test, DCC- MGARCH into the model. The empirical results show that the Shanghai and Shenzhen and Hong Kong stock market's long-term linkage is not significant, but in the short term due to some change in policy, the Shanghai and Shenzhen and Hong Kong stock market linkage is gradually strengthened and dynamic stock markets and the Hong Kong Stock Market varying characteristics when correlation coefficients show,over time, the correlation between deduction Mainland and Chinese Hong Kong stock market is growing. From the theoretical and empirical analysis, the main reason may be: First, do not synchronize economic development in Shanghai and Shenzhen and Hong Kong stock market long-term linkage is not obvious; Second, the market short-term infection caused by the Shanghai and Shenzhen and Hong Kong stock market linkage enhancements; three It is a series of policies implemented so that the correlation withthe Shanghai and Hong Kong stock market is growing. Based on the conclusions of research presented to investors and regulators some suggestions, hope the mainland and Chinese Hong Kong stock market can be a healthy run, investors are able to invest more rational.