| In recent years,with the opening of the Hong Kong Stock Connect and the excellent performance of a series of star stocks such as Tencent Holdings,Meituan and Kuaishou in the capital market,the active role of Southbound funds has attracted extensive attention from scholars and investors.In our financial market,the southbound funds refer to the funds that enter Hong Kong market via the mainland.The Hong Kong Stock Connect means that investors entrust mainland qualified securities trading service companies to transfer orders to the Stock Exchange of Hong Kong to buy and sell stocks listed on the exchange within the prescribed scope.The implementation of this capital market opening up system has broadened investment channels for domestic investors,achieved two-way opening-up of domestic and foreign financial systems,deepened exchanges and cooperation between mainland financial markets and Hong Kong financial markets,and injected fresh water into the stable development of mainland capital markets.However,the Hong Kong Stock Connect has further connected the mainland financial market with the international financial market,increasing the linkage effect of the two and exacerbating the risk of volatility in the Hong Kong stock market.Today,southbound funds in the Hong Kong stock market has become the backbone,has an important impact on the whole market.However,no scholars have paid much attention to the influence of shareholding ratio of southbound capital on stock price volatility.Therefore,this paper takes the fifth anniversary of the opening of the Hong Kong Stock Connect as an opportunity to explore related issues through rigorous empirical analysis on the basis of complete data,namely,the impact of the proportion of southbound capital shareholding on the volatility of the underlying stocks of the Hong Kong Stock Connect.Based on the half-year data of southbound capital shareholding from 2017H1 to2022H2,this paper studies the influence of southbound capital shareholding ratio on the underlying volatility of Hong Kong stock Exchange.The empirical results show that: first of all,there is a significant positive correlation between the shareholding ratio of southbound funds and the changes of the underlying stock price of the Hong Kong Stock Connect,that is,the increase of the shareholding ratio of southbound funds increases the volatility of the underlying stock connect.The investment behavior of southbound funds in Hong Kong stock market has not played a role in reducing volatility and stabilizing the market.Secondly,the adjustment effect is tested and it is found that the Hong Kong dollar exchange rate has a significant adjustment effect,that is,the higher the exchange rate of RMB against Hong Kong dollar,the more significant the positive adjustment effect of southbound capital on the underlying stock connect.Thirdly,heterogeneity analysis conducted grouping regression on whether the target has the wrangle-bull-bear certificate and AH dual-listing,and the conclusion showed that wrangle-bull-bear certificate and AH dual-listing had different effects on stock price volatility.Finally,this paper divides different industries into six groups according to industry characteristics and makes grouping regression.Empirical results show that the stock price volatility of cyclical industries is more significantly affected by southbound funds.Based on the above empirical conclusions,this paper puts forward some suggestions on the risk monitoring system,the scope of stock selection,market mechanism and investment channels of southbound funds.To sum up,this paper studies the impact of southbound capital on the underlying stock price volatility of Hong Kong stock exchange,not only has a certain significance in theory,but also enrichis the research results of mutual benefit between the mainland and Hong Kong financial market.Also,it provides a certain reference for the improvement of market mechanism of Hong Kong stock connect. |
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