Correlation Analysis Of Stock Market Under The Background Of Shanghai-Hongkong And Shenzhen-Hongkong Stock Connect

In recent years,China has introduced a series of reform measures,such as the introduction of the “Qualified Foreign Investor System”,“Sharehold Separation Reform”,“Shanghai-Hong Kong Stock Connect” and “Shenzhen-Hong Kong Stock Connect”,etc.Chinese capital market is constantly improving,and the stock market is built into a healthy and forward-looking market.The topic of the latest "Shanghai/Shenzhen-Hong Kong Stock Connect policy " made a evaluation of the effect of the policy through the linkage analysis.The correlation study of “Shanghai/Shenzhen-Hong Kong Stock Connect” selected the daily closing price of the The Shanghai Composite Index,the Hang Seng Index and the Shenzhen Composite Index.The time of implementation of “Shanghai-Hong Kong Stock Connect” and “Shenzhen-Hong Kong Stock Connect” was used as the endpoint of the interval to study the changes in the correlation in the three time intervals.The topic is modeled by the Markov chain Monte Carlo simulation(MCMC)method to determine the edge distribution of each index's rate of return series,and then use the linear correlation and Copula function to analysis.Compare the changes,analyze the impact of the Stock Connect on the stock market,and put forward corresponding policy recommendations.The conclusions of the topics of “Shanghai-Shenzhen-Hong Kong Stock Connect” indicate that the “Shanghai-Shenzhen-Hong Kong-Shenzhen” policy has indeed increased the stock market linkages of Shanghai.It can be seen that the opening of the “Shenzhen-Hong Kong Stock Connect” has reduced the policy effect of “Shanghai-Hong Kong Stock Connect” to a certain extent and played a diversion role.However,the effect of improvement after the implementation of the policy is not very obvious from the absolute amount.The opening is still to be further expanded,and the risk prevention capability should be further strengthened.