The Influence Of Shanghai-Hong Kong Stock Connect On Liquidity And Volatility Of Chinese Stock Market

The Shanghai-Hong Kong Stock Connect is an important part of our capital market opening to the outside world.Since CSRC announced the official launch of the Shanghai-Hong Kong Stock Connect policy on November 17,2014,the rapid development of China's capital market and the gradual expansion of the degree of opening to the outside world have been witnessed.It is of great significance to study the effect of the opening of the capital market on the activity and stability of the stock market.On the basis of summarizing relevant literature and analyzing theoretical principles,the A-share market listed companies were selected as samples,and the panel data of two phases before and after the launch of the Shanghai-Hong Kong Stock Connect were used to carry out empirical analysis.This paper uses t-test,Difference-in-Difference model and Propensity Score Matching in the research process to ensure the robust result.The policy effects were measured,and the following conclusions were drawn:(1)the launch of the policy resulted in the outflow of domestic capital,the decrease of market depth and the decline of liquidity.(2)the Shanghai-Hong Kong Stock Connect policy reduced the speculative trading in the stock market,and domestic investors began to form the concept of value investment,which promoted the stability of the market.(3)compared with state-owned enterprises,the liquidity index and volatility index of non-state-owned companies have declined to a more obvious extent and are more influenced by policies.Based on the empirical research results,this paper proposes the following policy Suggestions:first,we should make Shanghai-Hong Kong Stock Connect play the leading role in our opening mechanism,promote institutional and financial innovation,improve the supporting mechanism,and evaluate the effect of the policy implementation;Second,we should further improve the construction of a macro-prudential supervision system and guard against macro-financial risks.Third,we will enhance the vitality of state-owned enterprises,stabilize confidence in the private sector,and promote the maturity of investors.