Linkage Analysis Of Shenzhen And Hong Kong Stock Markets Before And After Shenzhen-Hong Kong Stock Connect

Following the introduction of a series of financial market-oriented reform policies by Chinese government,SHKSC(Shenzhen-Hong Kong Stock Connect),as an upgraded version of Shanghai-Hong Kong Stock Connect,was officially launched on December 5,2016.It is a new step in Chinese deepening of financial market-oriented reforms.In order to explore the actual implementation effect of SHKSC,this paper,based on the perspective of stock market linkage,combed the theoretical basis and analyzed the internal logic and external performance of the joint development of Shenzhen and HK(Hong Kong)stock markets.Then taking the date of opening of SHKSC as a time demarcation point,using DCC-GARCH model and Granger causality test to conduct an empirical study on the joint development of Shenzhen and HK stock markets.The empirical research found that:(1)In the non-crisis period,the HK stock market was more stable than the Shenzhen stock market.During the crisis,the volatility of the HK stock market was significantly larger than that of the Shenzhen stock market,and it was more susceptible to the impact of the international financial market.(2)Before the opening of SHKSC,the development of linkage coefficient between Shenzhen and HK generally experienced low and oncussion-rising-slightly down the three stages.After the opening of SHKSC,the linkage coefficient between Shenzhen and HK development can be divided into down and up two stages.(3)Before the opening of SHKSC,the Shenzhen stock market had a one-way spillover effect on the HK stock market,and the information guidance effect of the Shenzhen stock market on the HK stock market's price was constantly strengthened from scratch.After the opening of SHKSC,the Shenzhen stock market still has a one-way spillover effect on the HK stock market.But at the beginning of the opening of SHKSC,the original spillover effect between Shenzhen and HK was weakened,the kind of reward spillover effect was restored after 146 trading days,but it still can't reach the before reward spillover intensity.Figures 7;Tables 5;References 50...