In 2017, China ranked first in the world's foreign exchange reserves, and the market capitalization of the Chinese stock market grew to be the world's third largest market after the New York Stock Exchange and the Nasdaq. This is a result of rapid economic growth, improvement of domestic life, and enhancement of national competitiveness, with annual average GDP growth rate of over 9% since China declared reform and open door in 1978. In addition, China introduced the market economy factors into the socialist planned economy, and the stock market of China developed at a remarkable pace over 20 years, reforming state-owned enterprises in China, adjusting industrial structure, financing social capital, And contributed to the promotion of economic development. In addition, the stock market in China is becoming more active due to the adoption and change of the QFII system and the reform of non-retail stocks, and opening up the financial market to the outside world. Meanwhile, the Hong Kong stock market boasts a long history of 120 years. Having suffered since 1997 when the sovereignty returned to China, it has now secured its position as a gateway to mainland China. Hong Kong is now the third largest financial center in the world and the perfect
It is a popular market for international investors because it offers a variety of investment products and convenient services. In this paper, we will compare Hong Kong stock market as well as Shanghai market in China, differentiating it from other previous studies. Considering that the Chinese stock market is not easy to understand due to limited restrictions such as investment restrictions, the study of the Chinese stock market together with the Hong Kong stock market that has reached the level of internationalization can explain the convergence of Hong Kong and Hong Kong It has the advantage of being able to understand the Chinese stock market more clearly. Considering the effect of this one stone, I would like to study the Chinese and Hong Kong stock markets together.
In this study, we examine the changes in efficiency and long - run equilibrium according to institutional changes in the Chinese stock market through empirical analysis. For the 26 years from April 3, 1991 to December 31, 2017, the analysis uses the monthly closing index of the three indices: China Shanghai Composite Index, Propaganda Component Index, and Antibiotic Index. In addition, the period of analysis is a turning point in the introduction of QFII, which is a change in institutional system in the Chinese stock market, and non-distributional reform. The research uses research methods such as parametric approach, nonparametric approach, and multivariate time series model. Empirical analysis uses a variety of techniques, such as age verification and VECM model. Whether the Chinese stock market is still inefficient, whether efficiency has improved, from which point it has become inefficient to efficient, and whether the Shanghai Composite Stock Price Index and I expect to be the Propensity Factor Index are leading indicators of the macro economy.