The Co-movement Of Mainland And Hong Kong Stock Market

With the frequent financial and economic exchanges between Hong Kong and the Mainland,the linkage between the Hong Kong stock market and the A-share market tends to increase.In the past,the study of the linkage between the Hong Kong stock market and the A-share market has mainly adopted the traditional vector autoregression(VAR).The method and the Granger Causality Test have studied the linkage of the two cities within different time periods,and have not formed a coherent time series.On the other hand,they have not conducted a deep analysis of the mechanism of the linkage.This article innovatively uses the dynamics.The conditional correlation coefficient model(DCC-GARCH model)deeply analyzes the linkage between the two cities from a dynamic perspective,and combines the market infection theory to analyze the mechanism of the linkage.This article is divided into five parts,namely introduction,literature review,data processing,data analysis and summary.The first chapter will introduce related concepts such as linkage,market sentiment,and core models.The second chapter summarizes the research results of domestic and foreign scholars on linkage and market sentiment.Based on this,it puts forward the limitations of previous research methods and leads to the innovation of this article.The third chapter mainly introduces the data sources,data processing methods and methods for constructing investor sentiment indicators,and successfully describes the investor sentiments of the A-share market and the Hong Kong stock market.The fourth chapter is divided into two parts.The first part is the linkage analysis under the traditional method.The first part of the second part carries out a regression analysis of the sentiment indexes of Hong Kong stocks and A shares,and analyzes the sentiment mechanism between the Hong Kong stock market and the A stock market.The latter half is based on the time-varying linkage analysis of the DCC-GARCH model,and combines the analysis results with investor sentiment indicators.Using OLS regression analysis,the linkage mechanism is analyzed.Finally,this paper summarizes the research steps,research results,inadequacies and improvements,and gives recommendations for the application of research results.