Cross Listed Stocks' Price Correlation Research In The Path Of Shanghai-Hong Kong Stock Connect Program

With the continuous development of global economic integration and regionalization,since the 1980 s,a growing number of emerging economies in the securities market choose to open itself in the international market for finance,that is cross-listings.Hong Kong as a special administrative region of our country has an inalienable relationship both in political and cultural field and in ecnonomic field with the mainland,the same is true in the stock market.On July 15,1993,Qing Dao Beer became the first ?A+H?share,after then,HK share market has become the most direct platform contacting the mainland capital markets with the international capital markets.In order to promote the interconnectivity of cross-strait financial markets and the fund of two-way flow,China Securities Regulatory Commission and Hong Kong Securities and Futures Commission made a Joint Announcement in the morning of April 10 th,2014,would officially open Shanghai-Hong Kong Stock Connect program.Shanghai-Hong Kong Stock Connect program refers to allow two areas' investors to buy other rigion's shares though the local security firms within the legel scope of the other stock.After statistics,there were 68 ?A+H? shares before Shanghai-Hong Kong Stock Connect program.This paper focuses on the cross-listed stocks and the Hang Seng AH(A)and AH(H)index on behalf of the overall level of ?A+H? shares to study the impact of the implementation of Shanghai-Hong Kong Stock Connect program on the linkage of cross-listed stocks and the mutual guiding relationship between them.To choose the right time point,this paper selects data from May 9,2005 to November 14,2014.The beginning data produced outstanding shares and the ending date had 2 years distance away from the Shanghai-Hong Kong Stock open.On data processing,in order to make the data more according with stationarity test,we get the daily average price of opening price,closing price,the highest and the lowest price as the price index and take the logarithm of the price index to simulate the stock trends better.In the empirical study,we use Eviews 8.0 software to do Unit root test,Johansen cointegration test,VECM model test and Granger causality test to verify the impact of Shanghai-Hong Kong Stock Connect program to the overall level of ?A+H? shares the long-short-term linkage and guidance.We also carry out empirical analysis of 68 individual shares and related plates to verify the accuracy of the previous analysis of the index and finally come to the conclusions of this study and make relevant policy proposals.