دانلود رایگان مقاله اثرات بازگشت و نوسانات سرریز

abstract

This study investigates the impact of the recently introduced Shanghai-Hong Kong Stock Connect. Using high frequency data and dynamic forecasting techniques, we find that the new Stock Connect does contribute to the increasing importance of the Chinese mainland stock market and economic activity. A weak and unstable cointegration relationship is found after this event. Additionally, the Stock Connect has also increased the conditional variance of both stock markets. We observe a leading role of the Shanghai stock market to the Hong Kong stock market in terms of both mean and volatility spillover effects after the Stock Connect. Our study indicates that the opening up of stock markets in China could enhance the leading power, influence the risk level and improve the market efficiency of the Chinese mainland stock market, since the volatility spillover effect from Shanghai to Hong Kong is strengthened. Besides, our results have important policy implications, especially on how policy makers should deal with the increased market interconnectedness and for portfolio managers in choosing potential hedging instruments. The success of Shanghai-Hong Kong Stock Connect provides valuable operational experience for the forthcoming Shenzhen-Hong Kong Stock Connect which could further improve the market efficiency in China.

6. Conclusion and some policy implications

This study aims to examine the impact of Shanghai-Hong Kong Stock Connect program on the dynamic relationship between Shanghai and Hong Kong stock markets. Our empirical research is among the first to investigate the impact of Shanghai-Hong Kong Stock Connect and provides a comprehensive analysis on the return and volatility behaviours of the Shanghai and Hong Kong stock markets using various quantitative methods. We use cointegration tests, Granger Causality tests and VAR model to examine the dynamics in the returns of the Shanghai and Hong Kong stock markets. We further conduct impulse response analysis and sensitivity tests. We also look at the volatility of the two stock markets by applying both univariate and multivariate GARCH models including GJR GARCH and BEKK GARCH models. A high frequency data (1 min's interval) of the Shanghai and Hong Kong stock markets indices is utilized to analyse the market dynamic behaviours. The dataset is from 02/07/2014 to 08/04/2015 which is about 3.5 months before and after the implementation for Shanghai-Hong Kong Stock Connect. Firstly, looking at the influence of Shanghai-Hong Kong Stock Connect, we find a significant long-term cointegration relationship between the Shanghai and Hong Kong stock markets in Post-Shanghai-Hong Kong Stock Connect period while we observe no cointegration relationship between these two markets before this program. Secondly, we observe that the return spillover effect from Shanghai to Hong Kong is faster and stronger than that from Hong Kong to Shanghai in the Post-Stock Connect period. Our impulse response analysis conducted as part of sensitivity tests shows that the Hong Kong stock market tends to be more responsive to the shocks in the Shanghai stock market in PostStock Connect period. Thirdly, the implementation of Shanghai-Hong Kong Stock Connect program has increased the conditional volatility level of both stock markets, since it opens the door for foreign investment and attracts both individual and institutional investors to participate in both Shanghai and Hong Kong stock markets. Fourthly, based on VAR BEKK model, we see an enhanced spillover effects in terms of mean and volatility from Shanghai to Hong Kong and weaker contagion effects from Hong Kong to Shanghai after the new initiative measures. This empirical evidence seems to suggest that the Chinese mainland stock markets could significantly affect the Hong Kong stock market through return and volatility spillover effects and plays a leading role in the information transmission regionally. In line with Raine and Adams (2015), our findings show that the enhanced openness of Chinese mainland stock markets does however contribute to the risk level, the market efficiency and the market activeness, since foreign investors generally tend to be more informed investor and contribute to the higher volatility. The success of Shanghai-Hong Kong Stock Connect provides valuable operational experience for expanding China's financial connections and further reforms on financial liberalization of the Chinese stock markets.