An Empirical Study On The Linkage Effect Between The Szse Component Index And Hang Seng Index Based On Shenzhen-Hong Kong Stock Connect

On December 5,2016,Shenzhen-Hong Kong stock market exchange and connectivity mechanism(Shenzhen-Hong Kong Stock Connect)was officially launched,this is a major step in the reform and opening up of capital markets after the reform of the equity separation,the dual Q system and the Shanghai-Hong Kong Stock Connect.The opening of Shenzhen-Hong Hong stock connect has prompted the Shenzhen stock market to connect directly with the Hong Kong stock market.It is the background of China's initial development of the connectivity mechanism in Shanghai and Hong Kong.And it will further promote the opening of China's capital projects and the internationalization of RMB.and it will also be an important force for China's financial reform.At the same time,Shenzhen-Hong Kong Stock Connect also makes China's capital market and the capital market in Hong Kong are deeply integrated,deepens the degree of correlation with international capital markets,and improves the level of opening up to the outside world.This paper,at first,analyzes the root causes of the existence of the interactivity between the szse component index and hang seng index through theoretical analysis,and the influence of the Shenzhen-Hong Kong Stock Connect opening on the two indexes in theory.Then selects the two index according to the data,open,high,low,close,respectively accounted for 10%,20%,20%,50% of the weighted average as the research object,at the official opening of Shenzhen-Hong Kong Stock Connect as a time node,using ADF unit root test and Johansen co-integration test method test of the sample data before and after the opening of Shenzhen-Hong Kong Stock Connect respectively stationarity and long-term co-integration relationship;Then,the short-term error repair is carried out via the VEC model.Finally,through the Granger causality test,the impulse response and variance decomposition,the guidance relationship between the two indexes,the reaction degree of impact and the contribution of mutual influence are studied.The empirical conclusion is: the szse component index and hang seng index have a long-term co-integration relationship before and after the opening of the Shenzhen-Hong Kong Stock Connect,and the short-term repair speed of the co-integration relationship is significantly greater than before the Shenzhen-Hong Kong Stock Connect opening.What is more,at a certain level of confidence,the opening of the Shenzhen-Hong Kong Stock Connect has made the one-way transmission between the two indices from the szse component index to hang seng index into a two-way transmission between the two indexes.Finally,this paper puts forward some Suggestions for government departments,regulators and investors.