TITLE:
A Study on the Impact the Shanghai-Hong Kong Stock Connect Making on the Long-Term Memory of Chinese Stock Market
AUTHORS:
Yongyue Zhang
KEYWORDS:
Shanghai-Hong Kong Stock Connect, Hurst Index, Long Memory
JOURNAL NAME:
Open Journal of Social Sciences,
Vol.5 No.4,
April
21,
2017
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.