Study On The Volatility Impact And Comovement Of Shanghai-Hong Kong Stock Connect Program

Shanghai-Hong Kong Stock Connect program opened in April 2014,which has a great significance of the development of China's capital market.Because of the differences between the political system and the economic system,there is a certain obstacle to the exchange between the Mainland and Hong Kong in the capital market.The opening of the shanghai-Hong Kong stock connect has increased the way for investors in both regions to increase their wealth management and capital appreciation.For both of the listed companies,to reduce the cost of its direct financing,to improving the conversion rate of science and technology and increase the enterprise competitiveness and improve employee benefits and so on,which has an irreplaceable role.However,some scholars have pointed out that the opening of the Shanghai-Hong Kong stock connect has also increased the transmission of risks while accelerating the transfer of information between the two markets.This paper based on this background.First of all,based on the yield sequence data of Shanghai composite index and the Hang Seng index in Hong Kong,we used GARCH model and asymmetric TARCH model,study the volatility changes of Shanghai composite index and the Hang Seng index in Hong Kong before and after the opening of Shanghai-Hong Kong Stock Connect program,we found on the one hand,the program increased the Shanghai and Hong Kong respectively the volatility of the stock market,also has some effects on the stability in both markets,but the impact should not be overstated.On the other hand,there is no asymmetric effect on the impact of good news and bad news on the Shanghai market,but there is an asymmetric effect on the impact of the Hong Kong stock market;Secondly,based on the VAR-BEKK-GARCH model,we study the volatility spillover effect between the two markets,we found that Shanghai market has been a one-way volatility spillover of the Hong Kong market,but the program changed the volatility spillover effects of the Hong Kong market on the Shanghai market;Finally,to further analyze the phenomenon of rise and fall of Shanghai and Hong Kong Stock market after the opening of Shanghai-Hong Kong Stock Connect program,based on the theory of cointegration vector autoregressive model,we study the comovement effect of both markets,we found that the program has changed the relationship between the two markets,deepening the cointegration relationship between the two markets and establishing a strong and balanced relationship.