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《Statistics & Decision》 2018-17
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Analysis of Impact of Shanghai-Hong Kong Stock Connection on the Stock Market of Shanghai and Hong Kong

Xian Jingchen;Pan Chengrong;Research Center for International Business and Enconomy, Sichuan International Studies University;International Business School,Sichuan International Studies University;  
On the basis of the data in the 600 consecutive trading days before and after the opening of Shanghai-Hongkong Stock Connection, this paper uses subsection regression method to compare the linkage of Shanghai Index and Hang Seng Index at different periods before and after the opening. And then the paper compares the change of fluctuations of Shanghai Index and Hang Seng Index before and after Shanghai-Hong Kong Stock Connection. The result finds that the linkage of Shanghai Index and Hang Seng Index is increased in the short term, and at the same time bring impact on the volatility of the two markets. But the effect of Shanghai-Hong Kong Stock Connection is short, and as time goes on, the effect has gradually faded. Shanghai and Hong Kong stock market linkage and volatility returns to the pre-launch status.
【Fund】: 重庆市教育委员会人文社科研究项目(15SKG120);; 四川外国语大学校级科研项目(sisu201741)
【CateGory Index】: F832.51
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