Research On The Influence Of Shanghai-Hong Kong Stock Connect Program On The Efficiency Of China's Capital Market

Shanghai-Hong Kong stock connect program launched in November 2014,opened the door between China's and overseas capital market.This program makes it possible for domestic and foreign investors to directly participate in the opponent's stock market,which is of great significance to promote China's internationalization of capital market and improve the financial system.Up to now,the program has been running for more than two years and its derivative policy Shenzhen-Hong Kong stock connect program has also began to run smoothly in the fourth quarter of 2016.It is important to study how this policy works.Based on the classic "effective market hypothesis",this paper studies the policy effect of the program to test the positive influence of the policy and promote the smooth implementation of China's capital market opening policy.As the program is unique to our market,this paper mainly learns the theoretical support of the market efficiency and the construction methods of important models from the foreign literature.From the domestic literature,this article mainly finds about China's capital market open policy and its effect.At the point of the program has run more than two years,and its derivative policy Shenzhen-Hong Kong stock connect program has just been implemented,we could get a long period of time to do our research.Furthermore,the fact that the policy has brilliant impact on China's capital market construction and internationalization process could be proved.This paper first summarizes the operation status of the program,and studies the relevant theories of capital market efficiency.On this basis,it analyzes the positive effect of the program on China's capital market,and puts forward the relevant hypothesis.Due to the natural suitable conditions of the program,this paper adopts the difference-indifferences model to carry on the empirical analysis.This paper takes the classic "effective market hypothesis" as the theoretical basis,and examines the policy effect of the program from three aspects: the adequacy,accuracy and timeliness of information.The results of the DID models show that the implementation of the program has a significant brilliant effect on the efficiency of information in China's capital market.After joining the control variables associated with the underlying fundamentals of every sample stock,the results are still significant.The empirical results of this paper have proved the positive effect of the program.However,as its sustainable development,this program have come into being,the China's and foreign economic mechanism is still changing quickly,this program still need to improve in the following days.