The analysis of the impact of Shenzhen-Hong Kong stock connect on the stock market co-movement between the mainland and Hong Kong–based on the GARCH-Copula model
School of Economics and Management, Nanjing University of Science and Technology, Nanjing, China
ABSTRACT: The introduction of Shenzhen-Hong Kong Stock Connect has further expanded the opening of the mainland's capital market and strengthened the cross-straits stock market co-movement effect. In this paper, Shanghai Stock Index, Shenzhen component Index and Hang Seng Index are selected, and December 5, 2016 is taken as the time cut-off point to select the daily return before and after the launch of Shenzhen-Hong Kong Stock Connect. ...
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