A Study Of The Relevance Between Hong Kong Stock Market And Mainland Stock Market

Nowadays,with the integration of the economy,financial and volatility have become more and more complex.Therefore,the research on the relevance of financial markets is getting more and more attention.The correlation research between the two markets in Mainland China and Hong Kong is also important.Since the reform and opening up,China ' s economy has developed rapidly and international trade has increased In 2001,China's accession to the WTO made China' s foreign trade more frequent and its Chinese capital more open.This enabled China to better integrate itself into the wave of economic globalization.In China,the stock market in Hong Kong and the Mainland has long been in a fragmented state.With the economic development needs and the inevitable requirements of historical development,the two places have continuously introduced new systems and policies to promote the sound development of the two economies.The introduction of the QFII and QDII investment system to the Shanghai-Hong Kong Stock Connect and Shenzhen-Hong Kong Stock Connect has enabled China and the world economy to be closely linked and has enabled Hong Kong and the mainland stock markets to gradually become integrated.This paper empirically analyzes the integration trend between Hong Kong stocks and the mainland stock market from two perspectives of causality analysis and correlation analysis.The main work is as follows:First,the related theoretical knowledge of Copula and mixed Copula is introduced,including definition,nature,parameter estimation,etc.,the Copula-based Kendall ?,Spearman ? and tail correlations are discussed,and the expressions of Kendall ??Spearman ? and the tail correlation measure are given on the basis of the hybrid Copula.Secondly,when the data was selected,about 6,200 pairs of data from 1991 to 2017 were selected.The occurrence of some important events was used as a marker to divide into three periods.The Granger causality analysis was used to illustrate the integration of the two markets.trend.In the analysis of Granger's reasons,it is concluded that the three phases are the reasons why the two stock markets have no Granger,Granger causes each other,and the mainland stock market is the Granger cause of the Hong Kong stock market.Then,through the division of the above data,using hybrid Copula as a tool,the correlation analysis shows the integration trend of the two markets.Finally,it is concluded that the correlation between the Hong Kong stock market and the mainland stock market has gradually increased and tends to be integrated.Based on this,the future of the Hong Kong stock market will be looked into.