The Analysis Of Shenzhen-Hong Kong Stock Connect Program’s Impact On The Volatility Of Shenzhen Stock Market

With China’s increasing economic strength and international status,China’s economic development has put forward higher requirements for the opening degree of China’s capital market to the outside world.In order to strengthen the openness and liquidity of the stock market and enrich the capital structure of listed companies,the state has implemented a series of measures,including the introduction of qualified foreign investors,the reform of the split share structure,and the opening of Shanghai-Hong Kong and Shenzhen-Hong Kong.The research on China’s capital market by Shanghai,Hong Kong and Hong Kong Stock Exchange and its previous policies has been relatively mature.However,as an important channel linking Shenzhen Stock Exchange and Hong Kong Stock Exchange investors and an important step in the opening up of China’s capital market,whether this policy has a significant impact on the volatility of China’s stock market is still relatively inadequate.According to previous studies on the opening up of capital markets,it is particularly important to continue to study the impact of Shenzhen and Hong Kong Tong on the volatility of Shenzhen stock market.This paper chooses time windows of different lengths and different levels of research objects,uses data samples such as Shenzhen and Hong Kong related index and company stock price,uses descriptive statistical analysis,regression analysis,VAR model,GARCH model and double difference method to analyze the influencing factors of Shenzhen market volatility,and describes and compares the characteristics of Shenzhen market volatility before and after the introduction of Shenzhen and Hong Kong Tong.Comparatively,by studying the difference of stock price volatility between Shenzhen Hongkong Tong Company and non-Shenzhen Hongkong Tong Company,this paper studies the influence of Shenzhen Hongkong Tong Company on the volatility of Shenzhen Stock Market.According to the research and analysis of Shenzhen stock index and Shenzhen stock market,it is concluded that Shenzhen-Hong Kong communication policy has a certain impact on the return and volatility of Shenzhen stock market.Firstly,the factors affecting Shenzhen stock market retain the retail price index,Shenzhen Stock Exchange turnover,exchange rate,money supply and virtual variables,and find that Shenzhen Stock Exchange Index has a slight weakening trend before and after the implementation of Shenzhen-HongKong Tong policy.Secondly,based on the analysis of the fluctuation characteristics of Shenzhen and Hong Kong before and after the opening of Shenzhen and Hong Kong,it is found that the closing price distribution of Shenzhen Composite Index shows the characteristics of "low peak and thin tail",while the return distribution shows the characteristics of "peak and thick tail".Moreover,the volatility of its return rate has "volatility agglomeration".In terms of interaction between Shenzhen and Hong Kong,before the opening of Shenzhen and Hong Kong,Shenzhen was affected by fluctuations from the Hong Kong market,while Hong Kong was not affected by fluctuations from the Shenzhen market.After the opening of Shenzhen and Hong Kong,the Hong Kong market has been affected by fluctuations from the Shenzhen market,while the Shenzhen market has not been affected by fluctuations from the Hong Kong market.Before and after the opening of Shenzhen-Hong Kong Stock Exchange,the volatility of Shenzhen Stock Exchange Index return is asymmetric,and there is a "leverage effect",and the Shenzhen-Hong Kong Stock Exchange Policy makes the volatility of Shenzhen Stock Exchange decrease.At the micro level,we can also find that after the opening of Shenzhen and Hong Kong,the risk of Shenzhen Stock Exchange Company’s stock tends to decrease.Finally,through the analysis of the research results,we find out the influencing factors of the volatility of Shenzhen Stock Market and the impact of Shenzhen-Hong Kong Traffic Policy on the volatility of Shenzhen Stock Market,and give the corresponding policy recommendations and prospects.