| In recent decades,with the deepening of the world economic and trade integration,as one of the important factors of the capital market is more and more play an important role,with the pace of financial globalization is accelerating.With China's reform and opening up to the deep water zone,the gradual opening of the capital market is an irresistible trend.However,in the economic development of a country,finance has always been a double-edged sword.If it is not used properly,instead of helping the real economy,it will squeeze the living space of the real economy.If China is to move from a manufacturing powerhouse to a manufacturing powerhouse,it is important to understand the role of finance in the real economy and the risks it poses.Based on the perspective of "shanghai-hong kong stock connect",this paper studies the interactivity of the two markets,studies the multi-angle and multi-level,and finally gives the policy Suggestions.Firstly,this paper studies the mechanism of the interaction between Shanghai and Hong Kong from a qualitative perspective,and discusses the economic and financial transactions and financial capital of the two places respectively.Then the problem is further deepened with the method of quantitative analysis.First of all,the "shanghai-hong kong stock connect" was opened as a time cut-off point for the study,which was divided into two phases.Then we study it at the macro level and micro level.Macro aspects,the first correlation analysis yields in both markets,it was found that the "Shanghai tong" before and after the opening,the granger cause of the Shanghai is not a port city,port city in front of the "Shanghai tong" opened not the granger cause of Shanghai,but in the "Shanghai tong" is the granger reason of Shanghai after opening.Furthermore,the impulse response function and variance decomposition were further used to find that the impact of Shanghai and Shanghai on the port city was very small before and after the opening of the shanghai-hong kong stock connect.However,the impact of Hong Kong on the Shanghai market has been large,and the impact has increased since the opening of the shanghai-hong kong stock connect.Next,the volatility of the two places is analyzed,and the GARCH model is adopted first.The opening of the shanghai-hong kong stock connect will reduce the volatility of both places.Then the ar-garch model was used to analyze the fluctuation caused by the fluctuation of the Hong Kong market,indicating that the Hong Kong market was guiding the fluctuation of the Shanghai market.At the micro level,using the method of event listed in two places at the same time carry out specific analysis on AH,cumulative abnormal returns can be found by looking at two places,Shanghai and Hong Kong city on the "Shanghai tong" opened the incident response,the reaction of the port city of more prominent.After the opening of the shanghai-hong kong stock connect,Shanghai's response has always lagged behind that of Hong Kong,and further verified the previous conclusions.According to the empirical conclusion,the linkage between the two places has been strengthened after the opening of the shanghai-hong kong stock connect,but the impact of the Hong Kong market on the Shanghai market has been greater.Therefore,on the basis of this,put forward policy and suggestion.For regulators,the future is to make use of the Hong Kong market institutional investors rational investment to further promote the stable development of the Shanghai market,and to give to the international mature capital market risk give more attention and guard against risks inadvance.For investors,the future not only more investment channels,but also should pay attention to the market brought about by the correlation of market sentiment,in investment,full attention to risk control and diversification,and strengthen the transformation of investment ideas,pay attention to long-term investment. |
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