The Impact of Shanghai-Hong Kong and Shenzhen-Hong Kong Stock Connects on AH Stock Price Co-jumps in the Process of Capital Market Opening:Research Based on the Mechanism of Weighted Stocks
Frequent stock price jumps are issues that require prior attention when considering tail risk.They are also the content that regulatory authorities need to pay attention to in the process of capital market opening.This paper examines the impact of Shanghai-Hong Kong and Shenzhen-Hong Kong stock connects on AH stock price co-jumps and the underlying channels of action.At the same time,based on comparative and analysis of the differences in stock prices co-jumps be-tween weighted and non-weighted stocks,this paper explores the transformation of the role of weighted stocks in the process of capital market opening.The research shows that Shanghai-Hong Kong and Shenzhen-Hong Kong stock connects have a positive aggravating effect on AH stock price co-jumps,and this aggravating effect is mainly achieved by reducing stock liquidity.In the mean-while,the occurrence of AH stock price co-jumps are not the embodiment of market efficiency im-provement.In the whole sample range,Shanghai-Hong Kong and Shenzhen-Hong Kong stock con-nects mainly aggravate the co-jumps of non-weighted stocks,but inhibit the co-jumps of weighted stocks.Weighted stocks generally shows the role of stabilizing the market.However,when the scale of capital flows increases,the RMB exchange rate falls and investor sentiment is depressed,co-jumps of weighted stocks have increased,presenting a driving force for the sharp rise and fall of the market.Therefore,it is necessary to pay attention to the jump risk in the process of opening up the capital market,and provide guarantee for achieving a high level of opening up to the outside world.
capital market openingShanghai-Hong Kong and Shenzhen-Hong Kong stock con-nectsco-jumpAH stockweighted stock
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