内地股市与香港股市联动原因的实证分析
发布时间：2019-03-09 15:44
【摘要】：近年来,内地股市与香港股市之间的联动已成为事实,文章选取了标准普尔500指数、恒生指数、恒生国企指数和恒生AH股溢价指数,通过逐个与沪深300指数的实证分析,探讨两地股市联动的具体原因。通过脉冲响应和方差分解得出各个指数对联动原因的贡献率,发现造成两地股市联动的主要原因是内地股市自身,其次是HSI,HSAHPI,SP500,最后是HSCEI。对于处在不断一体化的两地股市及不断国际化的内地股市,研究结果对两地投资者和监管部门有一定指导作用。
[Abstract]:In recent years, the linkage between the mainland stock market and the Hong Kong stock market has become a reality. This paper selects the Standard & Poor's 500 Index, the Hang Seng State-owned Enterprises Index and the Hang Seng AH Stock Exchange overflow Index, and through empirical analysis with the Shanghai and Shenzhen 300 Index. Probe into the specific reasons of the stock market linkage between the two places. Through impulse response and variance decomposition, the contribution rate of each index to the linkage is obtained. It is found that the main reason for the linkage between the two stock markets is the mainland stock market itself, followed by the HSI,HSAHPI,SP500, and finally the HSCEI.. The results of the study can guide investors and regulators of the two places, which are in the continuous integration of the two stock markets and the continuous internationalization of the mainland stock market.
【作者单位】： 同济大学经济与管理学院;
【基金】：教育部人文社会科学研究项目(07JA790106)
【分类号】：F224;F832.51
，
本文编号：2437613
[Abstract]:In recent years, the linkage between the mainland stock market and the Hong Kong stock market has become a reality. This paper selects the Standard & Poor's 500 Index, the Hang Seng State-owned Enterprises Index and the Hang Seng AH Stock Exchange overflow Index, and through empirical analysis with the Shanghai and Shenzhen 300 Index. Probe into the specific reasons of the stock market linkage between the two places. Through impulse response and variance decomposition, the contribution rate of each index to the linkage is obtained. It is found that the main reason for the linkage between the two stock markets is the mainland stock market itself, followed by the HSI,HSAHPI,SP500, and finally the HSCEI.. The results of the study can guide investors and regulators of the two places, which are in the continuous integration of the two stock markets and the continuous internationalization of the mainland stock market.
【作者单位】： 同济大学经济与管理学院;
【基金】：教育部人文社会科学研究项目(07JA790106)
【分类号】：F224;F832.51
，
本文编号：2437613
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