| For a long time,individual investors are the most important participants in the Chinese stock market.The irrational and short-term interests of individual investors have led to a serious investor sentiment impact on the stock market,which makes it impossible for the stock market to develop steadily for a long time.The purpose of SH-HK Stock Connect program is to introduce overseas capital,optimize investment structure and improve investor sentiment's impact on stock market volatility.This article takes the opening of the Shanghai-Hong Kong Stock Connect program as the event point,and selects the data of Shanghai A-shares and other control variables from January 2012 to October 2017.It uses the DID model,event analysis method,and multivariate linear regression theory.Through those qualitative and quantitative research methods,this paper conducts an empirical study on the relationship between investor sentiment and Shanghai Stock Exchange A stock market volatility under the background of Shanghai-Hong Kong Stock Connect program.The empirical results show that:1.the investor sentiment has a significant impact on the stock market volatility.2.As for the SH-HK Stock Connect,policy-related events have brought a one-time direct impact on the A-shares market and the market has obtained information on the incident.After the opening,the immediate impact of SH-HK Stock Connect on stock volatility is not significant.3.The investor sentiment has a differentiated impact on the fluctuation of the SH-HK stock market and the non-Shanghai-listed stock market after the opening of the SH-HK Stock Connect.It affects stock volatility mainly in the form of SH-HK stock exchanges,but it also promotes or influences stock market by other indirect forms such as investor sentiment.The research results will provide suggestions for further opening of the domestic stock market and expanding of the Shanghai stock index. |
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