The Empirical Research Of The Co-movement Between Shanghai And Hong Kong Stock Markets Based On Shanghai-Hong Kong Stock Connect Program

Since the implementation of the equity split reform system in the Chinese stock market in 2005,the capital market has continued to open,thus the system shortcomings of stock markets has been repaired,and the stock market developed rapidly.Shanghai-Hong Kong stock connect program is milestone in the process of opening up in China's capital market,which means that the relationship between China's stock market and the Hong Kong stock market is closer,and China's stock market is gradually in line with the international market.Linkage research is the basis for asset allocation and risk supervision.How to fully characterize the dynamic linkage among financial markets has become a difficult and hot topic in the academic circles at home and abroad in recent years.Therefore,with the Shanghai-Hong Kong Stock Connect,the linkage analysis of the Shanghai-Hong Kong stock markets becomes more and more important.In this paper,it researches the impact of Shanghai-Hong Kong stock connect program on the long-term and short-term linkage from an overall and local perspective.As for the overall judgment of the linkage between Shanghai and Hong Kong stock markets,it uses the Dynamic Time Warping to morphologically describe the long-term linkage between stock markets.It also introduces the volume-price relationship to improve the classic Dynamic Time Warping so that it can be applicable to the stock sequence,then analyzes the effect of Shanghai-Hong Kong stock connect program on the linkage between Shanghai and Hong Kong stock markets.As for the local judgment of the linkage between Shanghai and Hong Kong stock markets,it uses the detection of abnormal values to research the linkage of short-term stock price changes in the two stock markets.The core idea of this method is,when the moving average of price rising and falling exceeds the dynamic confidence interval formed by twice the standard deviation,it is determined that the time point is an abnormal value.The detection results of this method are superior to those of other methods.With the analysis of the distribution changes of common change points,and the factors affecting the stock price changes,it can verify the influence of the Shanghai-Hong Kong Stock Connect on the linkage between Shanghai and Hong Kong stock markets and the transmission mechanism of linkage.The features and major contributions of this paper are as follows.Firstly,it provides a new perspective for linkage research.It uses the DTW to study the long-term linkage based on morphology,and uses the detection of abnormal values to study the short-term linkage based on abnormal action.Secondly,it includes the transaction volume into the linkage analysis for the first time,thus fully considering the relationship of stock price and volume.It also improves the classic dynamic time warping model,making it more suitable for stock serial research.Thirdly.it enriches the empirical results of Shanghai-Hong Kong Stock Connect,and provides advice to regulators and investors from the perspectives of asset allocation and trading strategies.