| Since the 1980s,financial liberalization has been further developed,and the financial industry in many countries has made full use of the international capital brought by financial liberalization to achieve rapid development.At the same time,short-term international capital flows can have an impact on the stability of a country's financial markets.Some of these countries have also suffered from rapid economic decline as a result of financial market instability or the outbreak of financial crises.As the world's largest trading nation and second largest economy,China is increasingly connected with other countries and regions in the world opening its economy and finance to the outside world and opening its financial market.All this is bound to lead to massive flows of international capital.With the continuous opening of China's financial market,we should make full use of short-term international capital flows to promote China's economic and financial development,and at the same time offset the impact of short-tenn international capital flows on China's financial market as much as possible,so that international capital flows can serve rather than hinder China's economic development.In November 2014,the Shanghai-Hong Kong stock connect mechanism was formally established.In 2016,the Shenzhen-Hong Kong stock connect was officially launched with the concerted efforts of various parties.The mechanism for cross-border capital flow of AH shares was formally established.At present,there are 568 stocks covered by the Shanghai stock connect and 921 stocks covered by the Shenzhen stock connect.Shanghai stock connect and Shenzhen stock connect have become important ways for international capital to enter the a-share market directly.As an increasingly important force,"northbound capital" has an impact on China's financial market.Through the analysis of the theory of interest rate decision,the theory of joint decision of interest rate and exchange rate and the theory of asset portfolio,the financial theory involved in this problem is clarified In addition,this paper sorts out relevant literature research from two aspects:the factors affecting short-term international capital flow and the influence of short-term international capital flow on a country's financial market.After sorting out the theories and literatures involved in this problem,this paper further analyzes the operation of the Shanghai-Hong Kong stock connect and the Shenzhen-Hong Kong stock connect.With the continuous improvement of the Shanghai-Hong Kong stock connect mechanism and the deepening of its openness,the influence of stock connect and Shenzhen-Hong Kong stock connect on the a-share market and even the financial system will continue to increase.Through the analysis of the investor structure,it can be seen that a large part of the investors in the Hong Kong market come from the United States,the United Kingdom and the European continent,among which the majority are institutional investors.Through the analysis of the transmission mechanism of the influence of capital flow,it is found that the capital flow of the Shanghai,Shenzhen and Hong Kong stock connect will influence the international financial market through the foreign exchange market and the stock market.A second-order lag VAR model was constructed by selecting three variables:the net transaction volume of the Shanghai-Hong Kong stock connect,the Shenzhen-Hong Kong stock connect on the same day,the first-order difference of the csi 300 stock index and the first-order difference of the central parity rate of the onshore RMB against the us dollar.Through empirical research it can be found that net transaction volume and stock index changes are granger factors for each other,and exchange rate changes are granger factors for each other.Through impulse response analysis,it is found that net buying volume has a positive impact on exchange rate change and stock index change When the variance decomposition of stock index changes and exchange rate changes is carried out,it is found that the explanatory ability of net buying volume to exchange rate changes is maintained at the level of 8%,and that of stock index changes is maintained at the level of 22%.Then,this paper divides the data into two parts based on May 1,2018,so as to analyze whether the explanatory ability of net buying volume is improved after the daily quota of the stock connect is increased.The empirical results show that before and after the quota adjustment,the explanatory ability of net buying volume to the changes in stock index increased from 18%to 24%,but the explanatory ability of net buying volume to the changes in exchange rate did not change significantly.Finally,in the process of Wilcoxon rank sum test of the stock index volatility distribution before and after the quota adjustment,it was found that the volatility of the domestic stock market increased with the increase of the daily quota of the Shanghai and Shenzhen stock connect.According to the above theoretical analysis and empirical analysis,the text believes that there is still a lot of room for innovation and expansion in the future.At the same time,it is necessary to strengthen the anti-risk ability of China's stock market by strengthening the education of investors and constantly improving the legal system construction of the stock market.Finally,in order to maintain the smooth operation of China's financial market in the process of financial opening up,more work should be done to strengthen cooperation with other regions in the international regulatory work. |
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