Research On The Influence Of Two Kinds Of Foreign Investors On The Volatility Of Shanghai Stock Market Based On The Shanghai-hongkong Stock Connect Policy

Under the macro background of internationalization of investment and internationalization of RMB,the influence of foreign investors on China's capital market has become an important research issue.The shanghai-hong kong stock connect policy has been officially launched on November 17,2014,providing policy support for the capital linkage between shanghai stock market and Hong Kong stock market.Currently,there are two types of foreign investors in Shanghai stocket,there are Shanghai and Hong Kong stock connect investor and QFII.The existing literatures have studied the shanghai-hong kong stock connect investor and QFII respectively,but there is no comprehensive analysis of their impact,and there is no way to affect the stock market of shanghai-hong kong stock connect investor and QFII.Therefore,this paper will study the influence of two kinds of foreign investors on the volatility of Shanghai stock price.In order to study the influence of two kinds of foreign investors on the fluctuation of stock price in Shanghai,this paper mainly starts from theoretical analysis and empirical analysis.In theory,by studying existing literature and theory,the main factors that influence stock price volatility are explored.The empirical aspect is divided into three parts.The first part mainly uses the SPSS software to carry out a regression analysis of the influence of two kinds of foreign investors' shareholding on the stock price volatility of Shanghai stock market.The influence of macro economy on the fluctuation rate of Shanghai stock market is studied.The direct influence and indirect influence of two kinds of foreign investors on the volatility of Shanghai stock price are clarified.The second part introduces the performance of listed company as the intermediary variable.Using the quarterly data of2012-2016,this paper analyzes the impact of the two types of foreign investors on the performance of listed companies and the volatility of stock prices in Shanghai stock market.In the third part,media reports are introduced as intermediary variables.By organizing the news report in baidu news search engine,The panel data is made up of quarterly time units.The fixed effect regression model is constructed by using STATA software.This paper compares the influence of QFII and shanghai-hong kong stock connect investors on media coverage and stock price volatility.The results show that:(1)After the implementation of the policy,both types of foreign investors have played a role in stabilizing stock price volatility.And when it affects the stability of Shanghai market,the two are mutually substitutive relations.(2)The shanghai-hong kong stock connect policy has a certain policy effect on the stock price volatility of Shanghai stock market,which aggravates the influence of the macro economy on the fluctuation rate of Shanghai stock price.(3)The performance of listed companies shows a significant intermediary effect when the stock price volatility is affected by the stock connect investors and QFII.Unlike QFII,positive media reports only show a significant mediating effect when stock price volatility is affected by shanghai-hong kong stock connect investors.(4)Both QFII and shanghai-hong kong stock connect investors can play an active supervisory role in listed companies performance and influence stock price fluctuations through such active supervision channels.In the process of supervision,the two are interchangeable.(5)Unlike shanghai-hong kong stock connect investors,QFII shareholding can significantly attract media attention.Therefore,the stock price volatility has been significantly reduced.(6)The effect of media reports on stock price volatility has timeliness.The research results of this paper provide the basis for policy making and investor behavior,and have theoretical and practical significance for in-depth understanding of China's capital market internationalization.