Research On The Structure Of The Herding Effect Of Shanghai-Hong Kong Stock Connect

Since the launch of the shanghai-hong kong stock connect mechanism,its impact on the financial markets of the mainland and Hong Kong has been significant.Due to the smooth operation of the shanghai-hong kong stock connect,China has successively established other connectivity systems,such as the shenzhen-hong kong stock connect,the china-japan ETF,and the shanghai-lun stock connect.As the first connectivity mechanism in China,shanghai-hong kong stock connect is of great research value.Therefore,the study on the herding effect of shanghai-hong kong stock connect in this paper can not only improve the effectiveness of China's financial market,expand the influence of China's financial market,but also provide reference for the establishment and improvement of other connectivity systems.In this paper,the stock stock exchange of shanghai-hong kong stock connect is studied,and the effect of market connectivity on the capital allocation and information flow efficiency of the market is studied from the side.Research process,first of all,using CCK model to Shanghai port opened herd behaviour changes before and after comparative analysis,secondly,the use of the MST Kruskal algorithm to generate the Shanghai port before and after the opening stock network,studies the stock network association characteristics and the relationship between herd behavior,and finally,by the method of the Adaptive-Lasso to find the port of Shanghai to the main factors that affect the herd behaviour.The empirical study concludes the following conclusions :(1)After the launch of the shanghai-hong kong stock connect mechanism,the herding effect of the stock connect increased significantly,and the herding effect became more obvious when the market declined.The launching of the shanghai-hong kong stock connect enhanced the herding effect to a certain extent;(2)Stock network nodes also show more obvious aggregation,among which the sheep flock effect is more significant in the largest sub-network stocks than in the remaining sub-networks.It is concluded that the stock flock effect of shanghai-hong kong stock connect mainly exists in the largest sub-network of the stock correlation network generated by mst-kruskal algorithm;(3)According to the Adaptive Lasso method,the maximum price,minimum price,opening price,turnover rate,size factor,hang seng index,market risk premium factor and industry index C26 are the factors that can affect the stock herd effect change of stock connect.According to the empirical conclusion,the following Suggestions are put forward:(1)Actively improve the relevant system of shanghai-hong kong stock connect,gradually open China's capital market,improve the information efficiency of the mainland stock market,and improve the p/e ratio;(2)Make good use of block chain technology to shorten the settlement cycle;(3)Use mst-kruskal algorithm to monitor and warn the shanghai-hong kong stock connect and even the entire stock market;(4)Regulators should pay close attention to adapator-lasso factors and give early warning of possible herd behavior in the shanghai-hong kong stock connect.