China’s Shanghai-Hong Kong Stock Connect and Shenzhen-Hong Kong Stock Connect programs make it possible for investors to trade stocks within specified limits through the two stock exchanges. The A-H share exchange stock market is crucial to the opening of the Mainland market, but few studies have paid attention to the market risks of such stocks. Using deep learning and BP neural network algorithm, this study constructs a three-dimensional A-H share interconnection market risk prediction index system including stock price fundamental indicators, technical indicators, and macro indicators based on the CES300 Index. Taking the CES300 Index return as the output layer indicator, a BP neural network with a 21-10-1 structure is constructed, and the tan-sigmoid transfer function and the LM optimization algorithm training function are used for network training to predict the return of the A-H share interconnected stock market. The mean square error (MSE) converges to 10−6, and the goodness of fit R reaches 0.9928 and validates the prediction accuracy of the BP neural network model. It provides an efficient and accurate risk prediction model for the A-H share interconnected market, which facilitates the interactive development of the Mainland and Hong Kong markets.
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