Research On Linkage Mechanism Between Mainland Stock Market And Hongkong Stock Market Under Background Of Shanghai-Hong Kong Stock Connect

Fom the beginning to present,the stock market of China has gradually gone through nearly thirty years,and has gradually formed a certain scale through constant reform and perfection.Some mainland institutional investors have gradually developed and expanded,in following the strategy of “going out”,they have listed in Hongkong stock market one after another,making the trade between Mainland and Hongkong more frequent,the linkage between mainland stock market and Hongkong stock market began to appear.Hongkong,as an important international financial center and mainland economic and trade window,plays an important role in the opening and development of the capital market of China,which will have a greater impact on the mainland stock market.Especially with the opening of Shanghai-Hong Kong Stock Connect,the interconnection mechanism between mainland stock market and Hongkong stock market has been set up,which has promoted the reform and opening up of mainland China and the cross-border circulation of RMB.More and more mainland investors select Hongkong as an important overseas investment market,further enhance economic and trade cooperation between the two markets.Therefore,it is very important to study the linkage effect under the new environment between mainland stock market and Hongkong.Firstly,this thesis is written to summarize the background,significance,methods,content and structure of the whole research in detail.Secondly,the related definition and internal mechanism are deeply studied according to the information or domestic and foreign literature review.Thirdly,the definition and feature of Shanghai-Hong Kong Stock Connect are described and the current situation of mainland stock market and Hongkong stock market as well as the status of listed companies in Hongkong are expounded.Then the economic relationship between the two stock markets is concluded.Lastly,the test method and principle are carried out in detail,and yield data from May 9,2005 to November 30,2016 of Shanghai Composite Index,Hang Seng Index and Hang Seng China Enterprises Index are selected as sample and divided into three stages for empirical analysis.The conclusion indicates that in the first two stages,there is a certain degree of segmentation and feeblish cointegration relationship and mutual influence between the two stock markets.But in the third stage,the two stock index began to appear synchronous changes with the opening ofShanghai-Hong Kong Stock Connect.The cointegration relationship and mutual influence of the two stock markets are gradually increased,which is particularly evident in Shanghai Composite Index and Hang Seng China Enterprises Index.According to the empirical conclusion,suggestions are put forward for investors,regulators and government.All of them should have a clear understanding of the opportunities brought by Shanghai-Hong Kong Stock Connect,and benefit from the linkage mechanism of the two stock markets under the premise of avoiding ricks properly.