Research On The Impact Of Shenzhen-Hongkong Stock Connect On The Segmentation Of AH Stock Market

The phenomenon of market segmentation has a long history,and there is also market segmentation in China's stock market.In recent years,China's capital market has been continuously open.While continuously integrating into the world's financial markets,it has also improved the relative fragmentation of China's stock market to some extent.The Shenzhen-Hong Kong Stock Connect is a mechanism for interconnecting Shenzhen and Hong Kong stock markets.This article focuses on the Shenzhen-Hong Kong Stock Connect policy and explores the impact of Shenzhen-Hong Kong Stock Connect on the fragmentation of Shenzhen and Hong Kong.The article first sorts out the research results of the predecessors.After summarizing,the author believes that the stock market segmentation has two major performances.One is the phenomenon of linkage between the stock market in the case of incomplete market segmentation,and the other is the difference in the stock prices of companies listed on different stock markets in the context of market segmentation.Then the author carries out a theoretical analysis of the impact of the opening of Shenzhen-Hong Kong Stock Connect on the AH stock market segmentation,and summarises the current status of Shenzhen and Hong Kong stock market,the factors affecting the state of Shenzhen-Hong Kong stock market segmentation,the institutional content and trading conditions of Shenzhen-Hong Kong Stock Connect policy,and the impact of the policy.In the empirical analysis part,the author builds models based on the aforementioned two major performances to analyze whether the degree of division between the Shenzhen and Hong Kong stock markets has eased after the Shenzhen-Hong Kong Stock Connect was opened.Specifically,in the linkage model of the Shenzhen and Hong Kong stock markets,the author selects the Shenzhen Stock Index and the Hang Seng Index,which are two indexes that can represent the circulation of the Shenzhen and Hong Kong stock markets,and calculates the daily rate of return to explore its volatility spillover effect.Through descriptive statistics,correlation coefficient analysis,Granger causality test and other methods,it was found that after the Shenzhen-Hong Kong Stock Connect was opened,the volatility of the Shenzhen and Hong Kong stock markets was less than before,and the correlation between the returns of the two stock market indexes has improved significantly.In addition,information transmission between Shenzhen and Hong Kong stock markets has changed.In the initial,volatility of the stock market to the counterparty's market has no guiding effect.But at present,the Shenzhen stock market's volatility has a guiding effect on the Hong Kong stock market.The above points indicate that the linkage between the Shenzhen and Hong Kong stock markets has strengthened since the opening of the Shenzhen-Hong Kong Stock Connect.In the model of the stock price difference between the Shenzhen and Hong Kong stock markets,the author chooses the AH share price ratio as the explanatory variable,and selects indicators that can reflect the influencing factors such as liquidity differences,demand price elasticity differences,and risk-free interest rate differences as explanatory variables,and deliberately adds the dummy variable of Shenzhen-Hong Kong Stock Connect policy to build a panel data model.The empirical results show that investor irrationality,liquidity differences,risk-free interest rate differences,market environment differences,and the opening of Shenzhen-Hong Kong Stock Connect all have a good ability to explain the AH stock price difference.In addition,through two phases of comparative analysis before and after the Shenzhen-Hong Kong Stock Connect is opened,it can be seen that after the Shenzhen-Hong Kong Stock Connect is opened,the AH stock price difference has narrowed.In general,the policy has eased the degree of fragmentation between the Shenzhen and Hong Kong stock markets.In the last part,the article summarizes the research results of the full text and makes suggestions for further improving the segmentation of the Chinese securities market.