| In recent years,with the development of Chinese securities market,the resources of listed companies on the Shanghai Stock Exchange and the Shenzhen Stock Exchange,as well as the co-movement between the Shanghai and Shenzhen stock markets,have changed.Now,the relationship between the changes of listed companies on the Shanghai Stock Exchange and the Shenzhen Stock Exchange and the changes of co-movement in the Shanghai and Shenzhen stock markets has not been fully studied.I took the Shanghai and Shenzhen stock markets as the research object,and studied the changes in the co-movement between the Shanghai and Shenzhen stock markets from 1991 to 2021 from the perspective of the macro economy and the industry.I used the vector error correction model to analyze the interactive relationship between the investor sentiment,the co-movement between the Shanghai and Shenzhen stock markets,development of the Internet industry,the size of the stock market,the return of the stock market,and the degree of ups and downs of the stock markets.I used correlation analysis and Granger causality test to study the interactive relationship between the degree of industry overlapping and the change in co-movement between Shanghai and Shenzhen stock markets.I used the CAPM model to explore the internal mechanism of the impact of investor sentiment on the change of co-movement in the Shanghai and Shenzhen stock markets.The results of the study show that the co-movement between the Shanghai and Shenzhen stock markets has always been maintained to show a stable and highly positive correlation.The results of the study show that change of the co-movement between the Shanghai and Shenzhen stock markets showed the characteristics of keeping stable first and then violent fluctuations and finally stabilizing.The results of the study show that the co-movement between the Shanghai and Shenzhen stock markets gradually became weaker.The results of the vector error correction model show that the development of the Internet industry is one of the reasons for the volatility of the Shanghai and Shenzhen markets.Although there is no long-term interaction between investor sentiment and the changes of co-movement between the Shanghai and Shenzhen stock markets,the co-movement between the Shanghai and Shenzhen stock markets will respond clearly to the impact of investor sentiment.The internal mechanism is as follows: when the stock prices rose sharply,investors paid too much attention to noise,which caused irrational fluctuations in stock prices,which in turn led to dramatic changes in the co-movement between the Shanghai and Shenzhen stock markets;when the stock prices plummeted,the share of market and industry information in the listed company’s stock prices increased,resulting in a greater co-movement between the Shanghai and Shenzhen stock markets. |
