Empirical Study On The Correlation Effect Of Shanghai-Hong Kong Stock Market Under The Background Of Shanghai-hong Kong Stock Connect System

With the acceleration of global economic integration,the link between the stock markets is increasingly closely.As an emerging developing countries,China's contribution to world economic development has been increasing in recent years,even as driving world economic growth momentum.China's stock market since 2005,after the system reform of non-tradable shares,repair the institutional drawbacks of the stock market and stock market developing rapidly expand,after the launch of the QDII and QFII measures such as strengthening the capital market in China and the rest of the world and the connection between the capital market.Shanghai port system is another important after the QFII and QDII system open process,means that our country stock market and the connection between the Hong Kong stock market more closely,will gradually integrate with the world market,so the port of Shanghai port of Shanghai stock market under the background of general correlation effect and analysis becomes increasingly important.This article studies the problem of a comprehensive understanding of the implementation of the Shanghai port flux system,and the influence of opening to the port of Shanghai stock market respectively and the response of the stock market of our country has a very important theoretical significance and application value.In this paper,from two aspects: theoretical and empirical study the Shanghai stock market in Shanghai port before and after the opening of correlation effect.In theory based on evolutionary game theory,the port of Shanghai tong built a market under the perspective of openness affect participants dominant strategy choice theory analysis framework,analysis of the Shanghai port opened port of Shanghai stock market before and after the correlation effect.Then,using empirical analysis method from the two city stock index yield sequence correlation and volatility of Shanghai port through opening port of Shanghai stock market before and after the associated effect of further research,the empirical analysis of Shanghai 180 index and Hong Kong's hang seng index as sample data,and pass to Shanghai port opening time for line whole sample was divided into two sub samples for comparative study.The theoretical analysis of paper results show that with the improvement of market openness,will eventually achieve "A shares and Hong Kong both market investment strategy advantage" pareto improvement.The empirical results indicate that Shanghai port on opening a closer link port of Shanghai stock market,but the link is asymmetric,the Shanghai stock market is affected by the Hong Kong stock market is more significant,while Hong Kong's stock market to the mainland market volatility spillover effect increased significantly.