中文摘要：

本文构建了时变SJC—Copulap方法，以相依性作为市场融合程度的考量依据，分析了沪港通的推行对内地股市与香港股市融合程度的影响。结果显示，沪港通政策从提出到推行，两个市场的上尾相关性有显著的提高，而且上尾的相关性比下尾的相关性要大，表明沪港通的实施增强了市场的融合程度，市场同步上涨的概率大于市场同步下跌的概率。由断点检验可知，两市场之间相关性结构发生变化，在沪港通实施时点尤其显著。

英文摘要：

Considering the degree of market integration on the basis of dependency, this paper analyzes the influence of the implementation of the Shanghai-HK.stock connect program on the degree of integration of domestic and HK.stock market by constructing the time-varying SJC - copulas method. The results show that from the initiative to the implementation of the program two markets on the tail correlation is significantly improved, and the upper tail correlation is bigger than the correlation of the lower tail. Results indicate that the implementation of the Shanghai-HK stock connect program enhances the degree of market integration and the probability of market synchronization increase is larger than the probability of synchronization drop. The breakpoint tests have showed that the correlation between the structure of two markets has changed especially during the implementation of the program.