A Study on the Impact the Shanghai-Hong Kong Stock Connect Making on the Long-Term Memory of Chinese Stock Market ()
ABSTRACT
Based on the log return of
Shanghai composite index, this paper constructs Hurst index by R/S analysis method to measure the long memory
in stock market. The results show that there is strong long memory in China’s stock
market. After the opening of Shanghai-Hong Kong stock connection, the long memory in China’s
stock market has been reduced, so does the memory cycle. It means that the Shanghai-Hong
Kong stock connection has a positive effect on enhancing the effectiveness
of China’s stock market.
Share and Cite:
Zhang, Y. (2017) A Study on the Impact the Shanghai-Hong Kong Stock Connect Making on the Long-Term Memory of Chinese Stock Market.
Open Journal of Social Sciences,
5, 90-97. doi:
10.4236/jss.2017.54009.
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