| The integration of stock markets is a hot topic in the field of finance.With the openings of the "Shanghai-Hong Kong Stock Connect Program" and the "Shenzhen-Hong Kong Stock Connect Program",the integration of the mainland stock markets and the Hong Kong stock market has attracted the attention of many financial scholars at home and abroad.Similar to the research purposes of many financial scholars at home and abroad,the writing purpose of this thesis is to study whether the implementations of the Shanghai-Hong Kong Stock Connect Program and the Shenzhen-Hong Kong Stock Connect Program increased the degree of integration between the mainland stock markets and the Hong Kong stock market.From the test results of the mean-spillover effect:Prior to the implementation of the Shanghai-Hong Kong Stock Connect Program,there was no mean-spillover effect between the Shanghai stock market and the Hong Kong stock market.While there is a mean-spillover effect of the Hong Kong stock market on the Shanghai stock market after the implementation of the Shanghai-Hong Kong Stock Connect Program.Prior to the implementation of the Shenzhen-Hong Kong Stock Connect Program,there was a mean-spillover effect of the Shenzhen stock market on the Hong Kong stock market.After the implementation of the Shenzhen-Hong Kong Stock Connect Program,the direction of the mean-spillover effect has changed,becoming the Hong Kong stock market"s mean-spillover effect on the Shenzhen stock market.From the analysis results of pulse effect function:Prior to the implementation of the Shanghai-Hong Kong Stock Connect Program,Shanghai stock market and Hong Kong stock market responded weakly to the shocks of each other's market.While after the implementation of the Shanghai-Hong Kong Stock Connect Program,the responses have been significantly enhanced.Prior to the implementation of the Shenzhen-Hong Kong Stock Connect Program,Shenzhen stock market and Hong Kong stock market responded shortly to the shocks of each other' s market.While after the implementation of the Shenzhen-Hong Kong Stock Connect Program,Shenzhen stock market and Hong Kong stock market respond longer to the shocks of each other' s market.From the test results of the volatility-spillover effect:Before the implementation of the Shanghai-Hong Kong Stock Connect Program,there is only a volatility-spillover effect of the Hong Kong stock market on the Shanghai stock market.After the implementation of the Shanghai-Hong Kong Stock Connect Program,there is a two-way volatility-spillover effect between the Shanghai stock market and the Hong Kong stock market.There is a two-way volatility-spillover effect between the Shenzhen stock market and the Hong Kong stock market whether before the implementation of the Shenzhen-Hong Kong Stock Connect Program or after the Shenzhen-Hong Kong Stock Connect Program.From the analysis results of dynamic relevance:Before the implementation of the Shanghai-Hong Kong Stock Connect Program,the dynamic correlation between Shanghai stock market and Hong Kong stock market is only 0.11 on average.After the implementation of the Shanghai-Hong Kong Stock Connect Program,the average correlation between the Shanghai stock market and the Hong Kong stock market has increased to 0.55.Prior to the implementation of the Shenzhen-Hong Kong Stock Connect Program,the dynamic correlation between Shenzhen stock market and Hong Kong stock market is only 0.25 on average.The average correlation between the Shenzhen stock market and the Hong Kong stock market has increased to 0.40 after the implementation of the Shenzhen-Hong Kong Stock Connect Program.Therefore,the implementations of the Shanghai-Hong Kong Stock Connect Program and the Shenzhen-Hong Kong Stock Connect Program have effectively strengthened the integration trend between the mainland China stock markets and the Hong Kong stock market,have increased the degree of integration of mainland China and Hong Kong stock markets. |
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