The Study On The Change Of Investors Herd Behavior Under Shanghai-Hong Kong Stock Connect Program

The Shanghai-Hong Kong Stock Connect Program serves as a milestone of openness of China domestic market.It is also the new start point of the mainland opening-up capital project.Despite the highly modernized real economy,fictitious economy still has a long way to go.Unlike mainland China,Hong Kong has a relative long and consummate history of development of capital market.So HK capital market could have a direct instructing impact on mainland investors.Through the channel,Hong Kong investors have the opportunity to directly invest in mainland stock market,which further contributes to the connectivity between mainland and Hong Kong market and the globalization of domestic capital market.The purpose of researching the change of herd behavior of domestic investor market is to find out through wider opening and connection of the market,whether the introduction of outside mature investors could elevate the level of capital distribution and information circulation efficiency.This article bases both on CSSD and CSAD model.A comparison research based on these two models from 2011 to 2018 is made to determine the change before and after the Shanghai-Hong Kong Stock Market program being introduced using time window method.Above that,our research also takes a look on the influence of Shanghai-Hong Kong Stock Market program to various kinds of stocks.We also try to find out the reason behind it.The main innovative point of this article is making an empirical research on the investors' herd behavior in the background of Shanghai-Hong Kong Stock Market program.One the one hand,qualitative analysis of herd behavior in the market is been made based on CSSD and CSAD models;On the other hand,quantitative analysis is been made through adding the participation as an index to CSSD model.The combination of these two method makes the research of herd behavior more comprehensive.Overall we find that after the adoption of Shanghai-Hong Kong Stock Market program,those stocks within the the program see significantly rising herding behavior.After Hong Kong investors take part in Shanghai A shares,investors in Shanghai tend to invest in the similar trend.In the down market,these similar investing trend is more significant.Overseas investors did not make herding behavior better in mainland.In converse,they enhance the herding behavior in mainland from a short time review.