Research On The Linkage Effect Of Shanghai And Hong Kong Stock Markets Based On Long Memory Perspective

Since 2018,"expanding opening up" has become one of the main themes in the financial field.As an important part of the opening up of the financial sector,the Shanghai-Hong Kong Stock Connect has ushered in a wider prospect.This paper mainly studies the changes of the linkage effect of the Shanghai and Hong Kong stock market before and after the implementation of the Shanghai-Hong Kong Stock Connect Policy.This paper firstly uses method of event research to study the impact of the Shanghai-Hong Kong Stock Connect incident on the stocks of Shanghai and Hong Kong from the perspective of yield.Secondly,This paper chooses the Shanghai Stock Exchange Index(SSI)and Hong Kong Stock Exchange Index(HKI)as well as the related indexes of Shanghai Stock Exchange in different scales and industries,and uses the long memory VAR-H-(BEEK)MVGARCH model to study the linkage effect and risk change of Shanghai Stock Exchange and Hong Kong Stock Exchange from the perspective of long memory.The research results are as follows:First of all,in the long run,the opening of the Shanghai-Hong Kong Stock Connect policy benefits the Shanghai Stock Connect and the Hangkong Stock Connect.Among them,the small-scale stock index is under pressure from the policy,and the financial industry stock index is boosted by policy support.Secondly,the long memory VAR-H-(BEEK)MVGARCH is an econometric model suitable for portraying the spillover effects and volatility spillover effects of the Hong Kong and Shanghai stock markets.At the same time,as an important media market,the exchange rate market has a significant impact on the interaction between the two stock markets.With the participation of exchange rate changes,the mean and volatility spillover effects between Shanghai stock market and Hong Kong market are very significant,but there are conduction differences.The spillover effect of the average share of Hong Kong Stock Connect to Shanghai Stock Exchange is even more significant after the incident.The volatility spillover effect of Shanghai Stock Connect to Hong Kong Stock Connect is more pronounced after the incident.It indicats that the degree of openness of the mainland capital market has gradually increased with the implementation of the policy.But the risk of contagiousness also increases.Finally,the relevant research results of the Shanghai and Hong Kong stock indexes of various scales and industries show that:(1)TheShanghai-Hong Kong Stock Connect Policy has changed the scale and industry stock index of Shanghai Stock Exchange from being in an inefficient market to an effective market.(2)The implementation of the Shanghai-Hong Kong Stock Connect Policy has promoted the average spillover effect and volatility spillover effect of stock markets of various scales and industries.Medium-scale stock index and food industry stock index are most affected by the policy.In summary,the Shanghai-Hong Kong Stock Connect policy has more advantages than disadvantages for China's financial market.