A Study of Shenzhen-Hong Kong Stock Connect Program Impact on the Volatility of Shenzhen Stock Market

China has successively promulgated relevant laws and implemented relevant policies to guide and regulate the gradual opening up of China's capital market. In order to strengthen the opening up of the stock market and enrich the capital structure of listed companies, the state has implemented a series of measures, including introducing qualified foreign investors, completing the reform of non-tradable shares, and opening Shanghai-Hong Kong and Shenzhen-Hong Kong stock exchanges. Based on the previous research and experience of capital market opening to the outside world, it is particularly important to continue to study the policy effects of Shenzhen-Hong Kong Stock Connect Program. This paper chooses Shenzhen companies data samples, mainly using Double Difference analysis, to compare the volatility characteristics before and after the launch of Shenzhen-Hong Kong Stock Connect Program. Through the analysis of the results of the study, we find out the influencing factors of the volatility of Shenzhen Stock Market and the impact of Shenzhen-Hong Kong Traffic Policy on the volatility of Shenzhen Stock Market.