Analysis On The Influence Of Hong Kong Stock Connect On AH Stock Price Relationship

Under the impetus of the economic globalization,countries are actively will be open capital markets as an important part of an economic development strategy,open capital markets will reduce or cancel the limitation of capital flows,appropriate to allow overseas investors to carry out the market transaction,helps to break the trade barriers of two markets,improve the interoperability between markets.Hong Kong stock connect is an important step after the launch of QF?,QD? and RQF? systems,opening up trading channels for mainland investment in Hong Kong's stock market.AH relations is to point to the same price the price of A shares and H shares of Chinese listed companies,the connection between the because AH respectively in the two segmentation of market environment,price there was some difference of performance between the two places,the existence of these differences are contrary to the traditional theory hypothesis of financial vision,is not conducive to healthy functioning in both markets.The price difference relationship and volatility difference relationship are the performance of stock price deviating from intrinsic value.This paper USES the Hong Kong stock connect to conduct an empirical study on the price difference and volatility difference relationship between AH shares,to test whether the opening of the capital market is conducive to reducing the degree of market segmentation between the two places,and to promote the consistency of the price difference relationship between the two places.This paper first analyzes the impact of the opening of the Hong Kong stock connect on the price change of AH shares.With AH price difference degree of price change relations,said construction of Shanghai and shenzhen respectively hong tong AH share price differential impact of basic regression model,found that compared to Shanghai via Hong Kong,shenzhen via Hong Kong more effectively reduce AH shares is poor,then using double panel difference model and related robustness after inspection,found that under the condition of the frequent fluctuation of RMB exchange rate,the conclusion is still stable,and long-term effect is greater than the short-term effect of policy implementation.Then it explores another kind of price relation under market segmentation--the difference relation of stock price fluctuation of dual listed companies.As a result of market segmentation,investors in the two places have different expected returns on stocks,which is likely to lead to inconsistent fluctuations of stock prices in the two places,which is not conducive to the healthy development of the market.Same construction of Shanghai and shenzhen respectively hong tong opened the basic regression model of the impact of the two cities share price volatility,the results found two Hong Kong tong opened all contributed to the two cities stocks share price volatility,especially aggravated the fluctuations in the H shares,after further using double difference model and the robustness test,the result shows that Shanghai is shenzhen hong tong more help to reduce the differences between the two cities share price volatility,However,after the robustness test of shortening the interval,it is found that the shenzhen stock connect has strengthened the effect of reducing stock price fluctuation.Finally,based on the above empirical research results,in order to reduce the AH stock price gap,stabilize the stock market and improve the effectiveness of the implementation of capital market policies,this paper successively puts forward Suggestions on steadily promoting the opening degree of the capital market,strengthening the effective guidance of the government and improving the market supervision.