| Scholars in the financial industry have always concerned research on the linkage between different securities markets.Since China's reform and opening up,increasing degree of opening to the outside world,and domestic capital markets also went through a process from scratch.The financial trend of increasing globalization since the 21st century,and the domestic securities market start to rise abruptly based on its accumulated strength after years of reform.Taking the Shanghai stock exchange for example,the trading volume of Shanghai A-share raised from less than ten billion yuan on daily average at the beginning of 2000,to more than one trillion yuan in a single day in 2015.The A-share market has grown to a super stock market with China's economic development.Although A-share market volume has been among the world's top,but it is still a relatively closed market base on the regime.Under the background that the securities markets of major economies in the world are increasingly closely linked,the integration of A-share market into the global financial market is an inevitable trend that cannot be changed.Therefore,how to open the domestic securities market safely,effectively and orderly has become an important topic for Chinese securities market regulators.The Shanghai-Hong Kong Stock Connect and Shenzhen-Hong Kong Stock Conn-ect opened in November 2014 and December 2016.They have similarities in business models,but they also have many differences in the details of institutional arrangements.In addition,the market structure of the Shanghai stock exchange market and Shenzhen stock exchange market has been significantly different after nearly 40 years of development.As a result,the Shanghai-Hong Kong Stock Connect and Shenzhen-Hong Kong Stock Connect show many different characteristics in the actual business operation.In order to further research the actual operation condition of Shanghai-Hong Kong Stock Connect and Shenzhen-Hong Kong Stock Connect,this paper further extracted the data,besides utilizes the trading data of Shanghai and Shenzhen stock exchange market,provided by the Choice financial database.This paper conducts empirical analysis by using the data of the Shanghai composite index,the Shenzhen component index and Hang Seng index from December 13,2012 to June 30,2018.What's more,in order to test whether the two stock markets become more interconnected with the open of shanghai-Hong Kong stock connect and Shenzhen-Hong Kong stock connect business model,the data samples are divided into two parts in this paper,each part is bounded by the launch of Shanghai-Hong Kong stock connect and Shenzhen-Hong Kong stock connect.Firstly,ADF test was used to test the stationarity of variables.After obtaining or constructing stationary variables,granger causality of the above data and the differential data was analyzed and the impact of the implementation of Shanghai-Hong Kong stock connect and Shenzhen-Hong Kong stock connect on their respective markets was compared and analyzed.On the other hand,taking the launch time of Shanghai-Hong Kong Stock Connect and Shenzhen-Hong Kong Stock Connect as the nodes,the sample interval divided into three sub-intervals.After the analysis found that the parameter test method could not be used,Wilcox rank sum test was selected to verify the impact of the launch of Shanghai-Hong Kong Stock Connect and Shenzhen-Hong Kong Stock Connect on the trading volume and related indices of Shanghai and Shenzhen stock exchange,and further explore the reasons through relevant data.As the shares of trade volume of Shanghai-Hong Kong Stock Connect and Shenzhen-Hong Kong Stock Connect to Shanghai and Shenzhen stock market is growing to a higher level,the supervision department should pay more attention to the timely assessment of policy effect in the process of opening up the domestic securities market in the future.The securities companies should serve the domestic investors better based on fully studying relevant policies and do well as a market participant and organizer.For ordinary investors,they should fully understand the trading rules of the Shanghai-Hong Kong Stock Connect and Shenzhen-Hong Kong Stock Connect,in order to obtain the investment opportunities brought by the innovative business and recognize the risks brought by the new business. |
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