Research On The Influence Of Shenzhen-hong Kong Stock Connect On The Abnormal Returns Of Shenzhen Stock Market

China's capital market opening up the system design is the core issue of economic reform,but also the focus of practical concern.China following QFII,RQFII,QDII and Shanghai-Hong Kong stock connect,the capital market has opened to the outside world into a new stage.December 5,2016 Shenzhen-Hong Kong stock connect through the official opening,which marks the mainland market and the Hong Kong market interoperability 2.0 era,the Shenzhen stock market and the Hong Kong stock market have had a profound impact.Based on the study of the short-term abnormal returns of the Shenzhen subject,this paper selects the day of August 9,2016 to August 23,2016 and November 28,2016 to December 12,2016,Transaction data,in-depth analysis of the impact on abnormal returns of the Shenzhen subject.The main research methods of this paper are theoretical analysis and empirical analysis based on event analysis.The main findings of this paper are as follows: 1.The abnormal returns of the Shenzhen subject is obviously present.The abnormal returns were significantly positive during the reporting period,and the abnormal returns were different before and after the opening: the abnormal returns before the opening was significantly negative,and the abnormal returns were significant positive after the opening.There are significant differences between the different plates: the abnormal returns of the mainboard is the same as that of the general subject.The abnormal returns of the smallboard is obviously positive and the abnormal returns is not significant.There was no significant difference in the abnormal returns of the GEM,and the abnormal returns during the opening period was significantly negative.3,select the week to discuss the growth rate and the average shareholding ratio growth rate for the announcement period and the opening period of the explanatory variables,through the control variable method for multiple regression analysis found: Shenzhen-Hong Kong stock connect through the announcement and opening is a significant factor in abnormal returns,And then found that Shenzhen-Hong Kong stock connect had a significant impact on the abnormal returns of the subject.Finally,according to the results of empirical analysis put forward the policy recommendations for the development of capital markets.