Study Of Co-Movement Between A&H Stocks Under Shanghai-Hong Kong Stock Connect

The Shanghai-Hong Kong Stock Connect has provided a new investment platform for both of Mainland's and Hong Kong's investors. With the steady advance policy, active participation of investors on both sides, on many occasions, "the amount of explosive" situation. At the same time, "Shanghai-Hong Kong Stock Connect" reflects the Chinese capital market, positive attitude, it is of great significance:First, China's capital market by enhancing cross-strait cooperation mechanism overall strength. The second is to consolidate the international status of financial centers of Hong Kong and Shanghai. The third is to accelerate the process of internationalization of the RMB. Hong Kong has become an offshore business center of RMB.How about mainland's and Hong Kong's stock markets'Co-Movement under the background? Those factors influence the Chinese mainland and Hong Kong stock market linkage is it? Therefore, research on the Co-Movement between Hong Kong's and mainland's stock markets in this paper. This study theoretically enrich the theoret of "Shanghai-Hong Kong Stock Connect ", and the conclusions of this study has theoretical reference value. In this paper, in practice a more profound understanding of the mainland's and Hong Kong's stock markets' Co-Movement to help investors make the right decisions in both cross-investment, while helping policy makers timely and accurate development is conducive to China's capital market and economic development policy.Compared with other scholars, this paper choose A&H shares listed in both Hong Kong and Shanghai at the same time, including Hang Seng AH Index A and Hang Seng China AH Index H. The A&H shares is better to reflect the stock Co-Movement between the two.By nonparametric Copula model, I found Archimedean Copula (Gumbel Copula, Clayton Copula and Frank Copula) function relative to the other two Gumbel Copula Copula function to better fit the sample data, and the parameter passed inspection. Conclusion exists between the mainland's and Hong Kong's stock markets significant linkage effects, and there is "the tail end compete with low" characteristics, namely the linkage effect increases when both the stock market boom or crash, and the linkage to be higher when inflation in linkage crash when; through a phased Nonparametric Copula model analysis found that "Shanghai-Hong Kong Stock Connect " two stock markets A&H shares linkage effects before and after the mainland and Hong Kong increased, after the "Shanghai-Hong Kong Stock Connect " opened A&H shares linkage of "the tail high under low-end "feature weakened, tends to be" symmetrical tail up and down".Using time series mining association rules obtained in this paper a number of association rules, which discovered and Nonparametric Copula different linkage characteristics:in the mainland's stock market conduction process to the Hong Kong's stock market, there is "the end of the lower end high" characteristics; including Hong Kong's stock market to the conduction process in the mainland's stock market, the existence of "the tail compete with low-end" feature; the mainland's stock market to the Hong Kong's stock market is stronger than the conductivity of the stock market in Hong Kong to the mainland conductivity.