The Research Of Co-movement Between China's Domestic Stock Market And Hong Kong Stock Market

Co-movement between stock markets means relatively high connection among stocks,thereby showing signs of synchronous fluctuation.In other words,when the price of a stock,a board or a stock index rises,another one connected to them will rise synchronously and vice versa.Over the past decade,With the constant improvement of the mainland stock market system and the degree of opening to the outside world in our country,and increase of economic ties,the mainland market to contact the Hong Kong stock market and the correlation is also growing.Based on the above,this thesis will conduct in-depth research on connection between the stock market of HK and that of mainland China.Firstly,the thesis will analyze some significant factors of the co-movement of the two stock markets.Based on these,the paper will analyze important factors affecting co-movement between the stock market of HK and that of mainland China through the theories and empirical analysis.At the same time,using the method of comparative analysis,comparing the different stages of the correlated changes in both markets,if we can obtain permit in both markets to strengthen,is that with the constant improvement of stock market policy and system and dual growing trade links,improve the efficiency of the operation of the mainland market and the correlation of both macroeconomicSecondly,In terms of theoretical analysis,the paper will use effective market theory,behavioral finance theory,economic integration theory and the like.We concluded that the operation efficiency of the mainland stock market has been continuously improved,which has promoted the interactivity of the two stock markets with the continuous opening of the mainland capital market and the continuous improvement of relevant policies and regulations.At the same time,increasingly close trade activity also provides the same economic basis for the co-movement between the two markets.Thirdly,in empirical research,a variety of mathematical statistical analysis methods are used to study the linkage degree of the two markets.In the course of the study,the thesis divides the period from 29th,Apr.,2015 to 30th,Apr.,2017 into three stages,taking the split of share structure reform as a start and the occurrence of subprime crisis and the launch of Shanghai,Hong Kong Stock Connection as knots.And A shares Index of A+H shares?H shares Index of A+H shares?Shanghai and Shenzhen 300 index,HSI and HSCEIwill be verified by co-integration test?VECM?Granger causality test?impulse response function and variance decomposition correspondingly.Finally,the conclusion is that on a significant level of 5%,A shares and H shares does not have the co-movement in the first stage and the second stage,but in the second stage,co-movement occurs between the stock market of HK and that of mainland China;In the third stage,It is a significant level of 1%level that they all have co-movements,and the co-movement has been rising.In terms of influence,the stock market of mainland China exerts a greater influence to that of HK,while the stock market of HK has a little influence on that of mainland China.At the same time,through the comparative analysis we can conclude that in the second stage appeared in both markets have a certain degree of correlation,may be due to the us subprime crisis worldwide,market sentiment caused infection and herding effect,If it is found that the increasing interactivity of the stock market may be due to the improvement of the operation efficiency of the mainland stock market and the increasingly close trade activities between the two places.Lastly,according to the empirical results,combined with the development of the mainland and Hong Kong SAR stock market,some policies and suggestions are proposed corresponding to investors and managers of both HK and mainland China.