Research On The Effect Of Shanghai-Hong Kong Stock Connect Program On The Interaction Between Onshore And Offshore RMB Foreign Exchange Market

"Shanghai-Hong Kong Stock Connect Program" is conducive to promoting China's and the Hong Kong capital market two-way open and healthy development.This paper explores whether the"Shanghai-Hong Kong Stock Connect Program" will have an impact on the linkage between onshore and offshore RMB foreign exchange market in China.On the basis of reading the existing theoretical literature,this paper attempts to expound the influence mechanism of "Shanghai-Hong Kong Stock Connect Program " from the capital channel,the investor psychology and the expected channel and the indirect channel.In the empirical analysis,this paper takes the opening of "Shanghai-Hong Kong Stock Connect Program" as the cut-off point,and selects the RMB spot and forward exchange rate,the offshore spot and forward exchange rate as variables,and analyzes the exchanges of the linkage between the two markets by Granger causality test and BEKK-GARCH model.And we finally concludes that "Shanghai-Hong Kong Stock Connect Program " can enhance the linkage between the two,especially between the two spot markets.a.After the introduction of "Shanghai-Hong Kong Stock Connect Program",the linkage between the two spot markets becomes significant in the mean spillover and volatility spillover,and the HK CNH spot market guides the CNY spot market more strongly.b.As to the volatility spillover effect,after the introduction of "Shanghai-Hong Kong Stock Connect Program",the HK CNH forward market has a significant guiding effect on the CNY forward market,while the guiding effect of the CNY forward market on the HK CNH forward market is weakened.c.In terms of the mean spillover effect,before the "Shanghai-Hong Kong Stock Connect Program",the relationship between the HK CNH forward market and the CNY spot market is not significant,while after it,the HK CNH forward market has a significant guiding effect on the CNY spot market.In the case of the volatility spillover effect,before and after the opening of the "Shanghai-Hong Kong Stock Connect Program",the HK CNH forward market has a non-linear guiding effect on the CNY spot market d.In terms of the mean spillover effect,the one-way guidance of the CNY forward market on the HK CNH spot market turns into the two-way guidance relationship between the two,and the guidance of the CNY forward market on the HK CNH spot market becomes more significant.As to the volatility spillover effect,the linkage between the two markets is still insignificant.After that,this paper chooses the period since the introduction of "Shanghai-Hong Kong Stock Connect Program ",rate spread between the two spot markets as the explanatory variable,and the daily capital flow as the explanatory variable,and add the necessary control variables to carry out multiple regression.The results show that rate spread between the two spot markets will narrow in the form of acceleration,with the increase of capital flow of the "Shanghai-Hong Kong Stock Connect Program".On the whole,the introduction of "Shanghai-Hong Kong Stock Connect Program" does enhance the linkage of China's and the Hong Kong capital market,especially the RMB foreign exchange markets,and promote the healthy operation and integration of the two capital markets.