Based on the Shenzhen-Hong Kong Stock Connect policy, this paper conducts a comparative study on the volatility of stock prices in Shenzhen stock market, and analyses the impact of opening up the capital market on the volatility of the stock market. Based on the Herd Effect theory, this paper uses fixed effects regression model with dummy variables to analyze short-term policy effects. Then, based on information spillover effect, the long-term policy effect on stock price volatility is comparatively analysed by using descriptive statistical analysis and FE double-difference methods. The results of the study show that the price volatility of the stock market increases in the early stage of the implementation of the policy; and reduces in the long run. This dampening effect becomes more and more significant over time.

Yixin Yao. The Analysis of Shenzhen-Hong Kong Stock Connect Policy's Impact on Shenzhen Stock Market Volatility. Academic Journal of Business & Management (2024) Vol. 6, Issue 9: 27-32. https://doi.org/10.25236/AJBM.2024.060905.

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