The Impact Of The Shenzhen-Hong Kong Connect Policyon A Share Stock Market

On August 16,2016,the Shenzhen-Hong Kong Stock Connect Policy was formally approved by the State Council.On the evening of November 25,2016,the regulator officially announced that Shenzhen-Hong Kong Stock Connect will officially open on December 5,2016.The system design of Shenzhen-Hong Kong Stock Connect refers to more than one year's experience of Shanghai-Hong Kong Stock Connect.The implementation of Shenzhen-Hong Kong Stock Connect will further strengthen the cooperation between the capital market in the Mainland and Hong Kong,and further enhance the international competitiveness of China's financial industry.In order to study the influence of Shenzhen-Hong Kong Stock Connect Policy on the A-share market,this paper attempts to analyze the short-term and long-term effects of the implementation of the Shenzhen-Hong Kong Stock Connect policy on the returns of China's stock market based on the perspective of stock returns.First,we study the short-term impact of returns and focus on their abnormal returns;through the event study method,we analyze the effect of the Shenzhen-Hong Kong Stock Connect Policy and combine the Internet search on the wording of "Shenzhen-Hong Kong Stock Connect".This paper aims at three suspicious time points respectively.The analysis of event study method was completed and the study showed that:As of the incident day on August 16,2016,the market did not appear a significant abnormal return;November 25,2016 was the event day,that is,the date when the supervisor announced the implementation details of Shenzhen-Hong Kong Stock Connect.On the same day and three days later,the Shenzhen-Hong Kong Stock Connect policy has a remarkable abnormal return rate;and on December 5,2016,as the event day,the implementation date of the Shenzhen-Hong Kong Stock Connect policy,the market also showed significant signs on the day of implementation and the day before.Secondly,the Difference-in-Difference model with the combination of propensity score matching method was introduced to carry out the policy causal analysis of the Shenzhen-Hong Kong Stock Connect policy.The study found that the Shenzhen-Hong Kong Stock Connect policy will increase the abnormal return rate of Shenzhen Stock Connect stocks in the short term.Finally,focusing on the long-term effects of returns,we focus on the impact of the level of returns and the risk of returns:On the basis of the Difference-in-Difference model,the study finds that the Shenzhen-Hong Kong Stock Connect policy will have positive and significant effect on return level in the long run.Long-term policy effect has the greatest impact on the stock returns of Shenzhen Stock Exchange in the two months after its implementation,but the impact degree has been weakening over time.The standard deviation,skewness,and kurtosis indicators found that the impact of the Shenzhen-Hong Kong Stock Connect policy on the distribution characteristics of stock returns is not significant in the short-term,and will result in deep stock exchanges between the four months and six months of policy implementation.The standard deviation of stock returns has become larger,the skewness has become larger and the kurtosis has become larger.All of this above shows that although Shenzhen-Hong Kong Stock Connect has,to a certain extent,increased the level of deep stock returns,it has also amplified the risk level.