Research On The Dynamic Interaction Between Shenzhen And HK Stock Market After The Start-up Of "Shenzhen-Hong Kong Stock Connect"

Under the background of the continuous expansion of China's capital market opening to the outside world,following the "Shanghai-Hong Kong Stock Connect",the "Shenzhen-Hong Kong Stock Connect" was officially opened.Since then,China has successfully constructed the interconnection channels among the three major capital markets of Shanghai,Shenzhen and Hong Kong.After the opening of "Shenzhen-Hong Kong Stock Connect",the linkage between the Hong Kong market and the mainland market has become the focus of social attention.Due to the great differences in trading mechanism and market maturity between Shenzhen and Hong Kong,the specific impact of the "Shenzhen-Hong Kong Stock Connect" on the two cities is uncertain.Whether the interconnection system of the two cities promotes the development of Shenzhen and Hong Kong needs further study.Based on the Lotka-Volterra model,this paper examines the dynamic interaction between the two cities during the whole period and in different periods,and uses Granger causality test to analyze and discuss the formation mechanism of the interaction between the two cities.In addition,the closing price data of the main indexes of the two cities during the period from September 1,2015 to June 14,2018 are analyzed.And the changes of the correlation,co-integration and linear guiding relationship between the two cities are compared.It is proved that the "Shenzhen-Hong Kong Stock Connect" makes the two cities more closely linked,and it is found that Shenzhen market occupies a dominant position in the interactive relationship between the two cities.The most important conclusions of this paper include:Firstly,the Lotka-Volterra model is used to estimate the daily turnover data of Shenzhen Stock Exchange and Hong Kong Stock Exchange by non-linear least square method,and the interaction between Shenzhen and Hong Kong during the whole period is analyzed.The study finds that from December 2016 to June 2018,the overall interaction between Shenzhen and Hong Kong is a predator-bait relationship,and Shenzhen predator distributes the funds of Hong Kong.Secondly,through the Lotka-Volterra model,the results show that in the period of 1,4 and 5,the two cities are mutually beneficial coexistence.In the period of 2,3 and 6,the two cities are predator-bait relationship,and Shenzhen predator distributes the funds of Hong Kong.It can be seen that the opening time of "Shenzhen-Hong Kong Stock Connect" is relatively short,and the interaction between the two cities is still unstable.It also reflects investors' high enthusiasm and concern for the mainland market,and in some stages shows the characteristics of predation and diversion of funds in the Shenzhen market.Thirdly,through Granger causality test,this paper analyses the linear guiding relationship between Shenzhen and Hong Kong stock exchanges and the main indexes of Shenzhen and Hong Kong stock exchanges.It is concluded that after the opening of "Shenzhen-Hong Kong Stock Connect",the dynamics of Shenzhen Municipality have attracted more attention.Shenzhen Municipality plays a leading role in the interaction between the two Municipalities.The operation of "Shenzhen-Hong Kong Stock Connect" is significantly related to the market conditions of Shenzhen Municipality.Fourthly,by comparing the correlation coefficients of the main indexes of the two cities before and after December 2016,it is found that the correlation between the two cities has increased significantly.In addition,the main indexes of the two cities are not the Granger cause of each other before the opening of "Shenzhen-Hong Kong Stock Connect".However,after the opening,Shenzhen is the Granger cause of Hong Kong City only.