The Influence of Shenzhen-Hong Kong Stock Connect on Stock Price Fluctuation

The opening up of China's capital market follows a gradual opening process. The inclusion of QFII, QDII, RQFII, Shanghai-Hong Kong Stock Connect, Shenzhen-Hong Kong Stock Connect, and A-shares into the international mainstream index are several major events in China's opening up process. The Shanghai-Hong Kong Stock Connect and Shenzhen-Hong Kong Stock Connect policies have established a two-way open channel between the mainland capital market and the Hong Kong capital market. On December 5, 2016, Shenzhen-Hong Kong Stock Connect was officially implemented. Shenzhen-Hong Kong Stock Connect is an upgraded version of the interconnection mechanism. It's opening not only helps deepen the integration of the mainland and Hong Kong capital markets, but also helps Hong Kong and the mainland capital markets to form a good complementary effect, providing more options for the allocation of overseas capital on A shares. Based on this background, this article selects 2014-2018 as the sample period, and through the establishment of the double differential model, explores the impact of the Shenzhen-Hong Kong Stock Connect opening on general fluctuation, systematic fluctuation, heterogeneous fluctuation of stock price. The empirical results show that the Shenzhen-Hong Kong Stock Connect Policy has significantly reduced the overall and heterogeneous fluctuations in stock prices. Based on the empirical results, this article makes recommendations to policy makers, listed companies and investors: policy makers should adhere to the gradual opening of the capital market; listed companies should strengthen information disclosure ; Small and medium-sized investors can properly learn from the experience of foreign investors to invest.