Analysis on Co-movements between Shanghai and Hongkong Stock Markets before and after the Implementation of Shanghai-HK Stock Connect

Résumé fourni par la source

Shanghai- HK Stock Connect program is another important opening process after QFII and RQFII in our capital market. It means that our mainland stock market will be closer with international capital market,especially in the aspect of co- movement with Hong Kong stock market. With the turning point of Shanghai- HK Stock Connect program,this paper has empirically examined Shanghai composite index and Hong Kong's hang seng index of two sub periods divided from 4 January 2013 to 10 April 2015 by using Johansen Co- integration Test and Granger Causality Test. The results indicated that the Co- integration and Granger Causality between Shanghai composite index and Hong Kong's hang seng index has changed obviously before and after Shanghai- HK Stock Connect program.

Ce résumé expose les affirmations des auteurs. BNTIC ne l’interprète pas comme une validation indépendante des résultats.