The Empirical Research Of The Co-movement Between Shanghai And Hong Kong Stock Market

Under the background of global economic integration, countries and regions are more closely linked to each other in aspect of trade and capital, making the global stock markets have begun to influence each other and showing a trend of co-movement. Especially during the financial crisis, the phenomenon of co-movement among stock markets attracted more attention, so the study of the co-movement between stock markets has become a hot spot.Shanghai-Hong Kong Stock Connect Program officially opened in November 17,2014. Shanghai and Hong Kong stock market can invest directly each other, which have a great impact on the markets. This paper researched the influence that the open of Shanghai-Hong Kong Stock Connect Program have on the Shanghai and Hong Kong stock market.Specifically, the main content of this paper is divided into six parts:The first chapter is the introduction. This chapter describes the background, introduces the research purpose and significance of this paper, and then explains the structure and use of the research methods, finally analyzes the main contributions and shortcomings.The second chapter is the literature review. This part focuses on the relevant research literature at home and abroad. Finally, the author made an integrated evaluation on the research literature.The third chapter is the theory of co-movement. This part firstly introduces the concept of "co-movement", then mainly elaborates several theories of co-movement, and analyzes the shortcomings of these theories.The fourth chapter mainly analyzes the factors of co-movement between Shanghai and Hong Kong stock market. Finally, the author analyses the influence that Shanghai-Hong Kong Stock Connect Program have on markets.The fifth chapter is the empirical research, this paper uses co-integration test, granger causality test, ECM, pulse response analysis, variance decomposition and other analysis methods on the research on the open of Shanghai-Hong Kong Stock Connect Program have on the Shanghai and Hong Kong stock market.The sixth chapter is the conclusion and suggestion, according to the results of theoretical analysis and empirical analysis, this paper will analyze the causes of co-movement between Shanghai and Hong Kong stock market, and put forward meaningful policy recommendations according to the conclusions.This paper uses a variety of methods of quantitative analysis to research the co-movement between Hong Kong and Shanghai stock market. The contribution of this study is mainly in the following aspects. Firstly, variety of measurement method makes this paper's conclusions reliable; secondly the topic of this paper is an new hot, so the research of this paper have the characteristics of timeliness; finally, Shanghai-Hong Kong Stock Connect Program have opened for more than a year of time,, therefore this paper is an empirical study compared with sufficient data samples, making the empirical results more reliable.