| After the opening of Shanghai-Hong Kong Stock Connect,Premier Li Keqiang put forward that "Shenzhen-Hong Kong Stock Connect should have been opened after Shanghai-Hong Kong Stock Connect ".Then,preparations for Shenzhen-Hong Kong Stock Connect have been carried out.In December 5,2016,Shenzhen-Hong Kong Stock Connect formally launched.Shenzhen-Hong Kong Stock Connect is another important opening system in China's capital market after QFII,RQFII and Shanghai-Hong Kong Stock Connect.It's a manifestation of China's capital market opening to the outside world and also a necessary way for China's capital market to mature and perfect.The system will connect Shenzhen stock market with Hong Kong stock market closely,open the door of mutual communication between Shenzhen capital market and Hong Kong capital market,promote the Shenzhen Stock Exchange and the HKEx's mutual integration,which is conducive to the opening of capital market,and strengthen the capital market's connection with the international market.However,whether Shenzhen-Hong Kong Stock Connect has an impact on the GEM and how to influence,which will be the focus of this paper.The liquidity and volatility of market are important index to measure the market development status,and determines the effectiveness and stability of the market.In this paper,the liquidity and volatility of chinext market will be studied,so as to analyze the influence of shenzhen-hong kong stock connect on chinext market of shenzhen stock exchange.First of all,in this paper,the research background,research significance and so on related concepts are introduced,at the same time,relevant literature on the liquidity and stock price volatility,and opening-up policy was analyzed to select liquidity measurement indicators:liq = |rt|/vt and volatility measurement indicators:vol = 2*(pht-plt)/(pht + plt);After that,the current situation of gem market was introduced.It is found that the gem market is developing and expanding continuously,but there are still some problems such as high risk and strong volatility,and then the reasons for its formation are analyzed.IN addition,This paper introduces the influencing factors of market volatility and deeply analyzes the path of the shenzhen-hong kong stock connect to market volatility.On the basis of the above theories,this paper constructs DID model and GARCH-M model respectively for regression analysis,and analyzes the influence of shenzhen-hong kong stock connect on the liquidity and volatility of gem market.When studying the impact of Shenzhen-Hong Kong Link on the liquidity of GEM,this paper chooses to construct a DID model.After a series of tests,the fixed effect regression model is selected.The following research conclusions are drawn:The Shenzhen-Hong Kong Stock Exchange system has a significant role in promoting the liquidity of the GEM market.The garch-m model is used to analyze the changes of market volatility.The analysis results show that the opening of shenzhen-hong kong stock connect reduces the volatility of gem market.However,its absolute value is still small,indicating that the ability of Shenzhen-Hong Kong Stock Connect to slow down the volatility of the GEM is limited.And market volatility is positively correlated with risk,that is,the increase of market risk will trigger the increase of market volatility.Finally,this paper puts forward some policy suggestions on how to deal with the opportunities brought by Shenzhen-Hong Kong Stock Connect,so as to promote the development of China's capital market in a better and faster way to internationalization. |
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