The Research Of Shanghai-hong Kong Stock Connect Program's Impact On Co-movement Of Stock Market

Shanghai-Hong Kong Stock Connect program is a pioneering attempt in China's capital market,Does this program played a expected role,How does this program affect the linkage between Shanghai and Hong Kong markets,and which mechanism impacted the linkage of two markets,these issues have a significant realistic meaning and theory significance.In this paper,the dynamic changes of co-movement between China and Hong Kong stock market between the front and rear of the research content,rate of return and volatility from the perspective of two linkage on two stock markets,and to explore the mechanism of tangible and intangible mechanism from two angles key policy mechanism through which to exert influence on the two markets linkage,attempts to study the above-mentioned issues were discussed by theoretical analysis and empirical test,we draw the following conclusions:(1)Shanghai-Hong Kong Stock Connect program can effectively enhance the openness of Shanghai's capital market.After this program opened,there are some significant changes in Shanghai and Hong Kong stock market linkage,about the rate of return,the two markets have formed a short-term price guide mechanism,about the volatility,the volatility spillovers from Hong Kong to Shanghai market showed a significant enhancement.(2)The main mechanism which is influence on Shanghai and Hong Kong market linkage by Shanghai-Hong Kong Stock Connect program is Invisible mechanism,and the physical mechanism only have a limited impact on Shanghai and Hong Kong markets.Last,based on the research conclusion we get some relevant policy suggestion,such as strengthening of external risk prevention,improve the capital market trading system and change the investment philosophy of individual investor,strengthen professional and institutional investors.