A Study on the Impact the Shanghai-Hong Kong Stock Connect Making on the Long-Term Memory of Chinese Stock Market

摘要

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.