Research On The Coupling Effects And Its Influence Factors Of The Shanghai-hong Kong Stock Connect Program

The Co-movement is a correlation between different rates of market return,or different security market prices which have common and long-term equilibrium relationship or have some long-term synchronous movement trend.In recent years,with the rapid development of economy of our country and the comprehensive national strength growing,China has become the second largest economy in the world.However,due to the late start and weak foundation,China's capital market is still a relatively closed market,while international investors are highly interest in the investment of our country capital market especially stock market,but it has been lack of access to the capital market of our country.Therefore,following the QDII,QFII and RQFII,in November 17,2014,China officially launched the Shanghai and Hong Kong stock connect program.In this article,for better measure the tail dependence We choose the binary t-copula function modeling to study the change of the co-movement for the two markets.The results show that the opening of Shanghai and Hong Kong stock connect program make the linkage between the Shanghai and Hong Kong stock market with a certain degree of enhancement.Finally,this paper also discusses the influence factors of the linkage effect and the construction of China's capital market,and puts forward the corresponding policy recommendations based on the revelation of Shanghai and Shanghai.Hong Kong and Shanghai officially launched the stock connect program has the milestone significance for expanding the opening degree of China's capital market.This is not only an important step in China's integration with the rest of the world,but also a good reference for further opening of the capital market to the outside world such as Hong Kong.As today's global economic integration gradually deepening,capital flows also presents the trend of globalization,therefore it is particularly important for mainland and overseas investors analyzing the co-movement between the Shanghai and Hong Kong stock market.