Study On The Shanghai And Hong Kong Through The Impact On The Effectiveness Of China's Stock Market

As the milepost of Shanghai and Hong Kong through the opening of China's capital market,and further promote the reform of the stock market internationalization;improve the pricing mechanism of the stock;improve the efficiency of resource allocation in stock market;change the investors investment philosophy;to stimulate the vitality of the market,these changes and ultimately improve the efficiency of China's stock market.In order to analyze the influence of Shanghai and Hong Kong through the validity of stock market in our country,this paper selected between 2000 and 2015 the Shanghai stock index model is established to analyze the effectiveness of changes in the stock market before and after the Shanghai and Hong Kong through.For the concept of market efficiency,this paper uses the time series of chaos can be distinguished and groups of Hurst index to define the validity,the Hurst index in the 0-1 range,when the statistical index Hurst index H is 0.5,the time series to meet Brown,according to the EMH(efficient market theory)market is efficient;when the index from 0.5,the time series does not satisfy the Brown movement,namely the market is not efficient;when the Hurst index in the 0.5-1 sequence,the existence of long memory;while in 0-0.5,showing the sequence of short-term memory.In the ARFIMA model,H=d+0.5,if 0<d<0.5,Xtare stationary sequence,but exhibit limited long-term memory characteristics and variance;if less than 0.5 d<1,the Xt sequence is not smooth,have unlimited long-term memory and variance,in this state,the stock market as an example,the current stock price can by the historical data,the market is not effective.In order to avoid the use of statistics and different models obtained different conclusions,this paper uses the accuracy of R/S analysis,DFA statistics and ARFIMA model analysis of the effectiveness of the market to ensure that the empirical results.In this paper,the R/S test,DFA test and the ARFIMA model:Based on Shanghai stock market has long-term memory significantly,but after Shanghai and Hong Kong through the Shanghai stock market's long-term memory and short-term memory in significant decline,indicate the presence of transmission mechanism is related to the degree of opening of capital market and the effectiveness of the capital market to the outside world,i.e.open help to increase the effectiveness of the market.Between the predicted effect of ARFIMA model and the long memory feature correspondences,if long-term memory was based on the prediction effect,is good;if the memory is not obvious,the prediction effect of ARFIMA is poor,the fractional length of 10 step prediction on the Shanghai and Hong Kong through the regression model,the results show that ARFIMA model on the whole the Shanghai stock market stock index yield good prediction effect,indicating China's Shanghai stock market the market has long-term memory characteristics obviously;but the ARFIMA model to predict the effect after Shanghai and Hong Kong through Shanghai and Hong Kong through the significantly weaker than before,after that opening the capital market(Shanghai and Hong Kong through the Shanghai Stock Exchange Market)on the long memory on the wane,the effectiveness of the market to enhance.