深港通开通对股价波动的影响研究

The Research of the Influence that Shenzhen-Hong Kong Stock Connect Program on the Price Volatility of Stock

本文首先分析了我国股票市场的发展现状,接着详细阐述深港通开通影响股价波动的三个理论机制,然后选取深圳主板市场221支股票作为样本,结合倍差法思想建立回归模型,实证检验深港通开通对股价波动的影响,结果显示深港通显著降低了股价波动,最后提出完善深港通制度的政策建议。

This paper first analyzes the status of the development of China's stock market,and then elaborates on the three theoretical mechanisms that the Shenzhen-Hong Kong Stock Connect Program affects the Price Volatility of Stock,and then we select 221 stocks as the sample of Shenzhen main board market,establishes the regression model with the idea of DID,The result shows that Shenzhen-Hong Kong Stock Connect Program has significantly reduced the volatility of stock prices,and finally we propose some advice about improving the Shenzhen-Hong Kong Stock Connect Program.