Research On The Overflow Effect Of Hong Kong Stock Market On Shanghai Stock Market After The Implementation Of Shanghai-hong Kong Stock Connect

Because of the capital market has a good resource allocation function,the sustained and stable development of the economy is fully guaranteed.Over the years,my country's stock market has become increasingly influential on international capital markets.However,compared with many overseas developed capital markets,my country's stock market still has a relatively large gap.These gaps are mainly reflected in: investors in my country are mainly individual investors,my country's trading model and related legal systems are not perfect.All these have led to my country's capital market not being able to protect the interests of investors,which has affected the function of capital market resource allocation.Therefore,the opening of Shanghai-Hong Kong Stock Connect and Shenzhen-Hong Kong Stock Connect has become an important measure for my country's capital market to connect with the international capital market,and it is a milestone in the development of my country's capital market,especially the stock market.After the opening of the Shanghai-Hong Kong Stock Connect,the study of the impact of the Hong Kong market on the Shanghai market is of great significance for promoting the long-term healthy development of the stock market,recognizing the risk changes under the global economic integration,and accelerating the pace of my country's financial market opening.From an empirical point of view,this article selects the data of the Shanghai Composite Index,weekly opening price and closing price of the Hang Seng Index between 2009 and 2019 as the main research objects,and at the same time selects the relevant data of Shenzhen Stock Market and Shanghai-Hong Kong Stock Connect as assistance The generalized variance decomposition dynamic path model(GFEVD)was used to analyze the return and volatility spillover effect after the Shanghai-Hong Kong Stock Connect was opened,and compared with that before the Shanghai-Hong Kong Stock Connect was opened.The results show: 1.From an overall analysis,the spillover effect of Hong Kong's earnings and volatility on the Shanghai stock market shows a rising trend of volatility.The length of the period of influence has also increased;2.Compared with the Shenzhen market,after the opening of the Shanghai-Hong Kong Stock Connect,the spillover effect of the Hong Kong market yield and volatility on the Shanghai market has significantly increased significantly,which shows that the regional leadership of the Hong Kong market The status and influence gradually increased.At the same time,the international status of the Shanghai market has also increased since the opening up;however,the fluctuation rate of the Shanghai market's yield and volatility is relatively large,which is also closely related to the stability of the Shanghai financial system.The two events of the trade war have a significant impact on its volatility;3.Combined with the analysis of major political and economic events during the data period,it was found that regional financial cooperation will increase the spillover effect of the Hong Kong market on the Shanghai market.The establishment of close economic and trade cooperation between Hong Kong,China and the mainland not only benefits the development of the Shanghai financial market,but also consolidates the status of Hong Kong,China's international financial center,and is a win-win situation.Based on the above conclusions,the article puts forward three suggestions: establish a reasonable supervision system,establish an effective early warning mechanism and strengthen regional cooperation.