同时开市背景下AH股的股价联动性研究

发布时间：2017-12-31 11:34

本文关键词：同时开市背景下AH股的股价联动性研究　出处：《贵州财经大学》2012年硕士论文　论文类型：学位论文

【摘要】：A股和H股的联动性问题一直是政府、投资者和学者关注的重大问题，以往学者们针对这一问题做了大量的理论和实证研究。自2011年3月7日起，A股市场和港股市场同时开市。在这样的背景下，本文在前人关于股票联动性问题研究的基础上，先对以往的研究成果加以总结，然后选取62支，满足以3月7日为分界点前后都有半年交易数据的A+H股票，收集其对应的开盘价、收盘价、成交量的日数据，据此编制开盘价指数和收盘价指数。以开盘价指数和收盘价指数作为本文的主要研究对象，展开对A股和H股的股价联动性问题的研究。本文首先从整体上对两个指数加以分析。然后，以2011年3月7日为分界点，分为同时开市前和同时开市后两个阶段，对A股价格指数和H价格指数的联动性关系，利用计量经济学方法进行了实证研究。具体方法有：相关系数检验、ADF数据的平稳性检验、数据的协整检验、VAR模型、脉冲响应函数分析、方差分解等。经由实证分析，，本文得出以下结论：（1）在2010年3月7日至2011年3月7日的一年中，A股和H股的股价存在较强的联动关系；（2）同时开市之后，A股和H股之间的股价联动性有所增强；（3）A股股价对H股股价的带动效应更加明显，即H股股价跟随A股股价的联动效果更加明显。在理论和实证研究的基础上，本文提出了三方面的建议。政策制定方面的建议包括：建立临时休市制度、针对资本市场建立金融安全网、加强国际监管的合作；对投资者的建议包括：关注联动性问题、不要盲目跟风、理性对待AH股价差问题以及养成价值投资和长期投资的习惯；关于A股和H股股价联动性问题进一步研究的方向，提出了:增加时间跨度、以2012年3月5日为分界点对AH股的联动性进行研究、进一步细化交易数据、将中午收盘价和下午开盘价纳入研究范围，引入事件研究法等。
[Abstract]:The linkage between A shares and H shares has been a major concern of the government, investors and scholars. In the past, scholars have done a lot of theoretical and empirical research on this issue. Since March 7th 2011. A-share market and Hong Kong stock market open at the same time. Under this background, this paper summarizes the previous research results and then selects 62 stocks on the basis of previous studies on stock linkage. To meet the March 7th as the demarcation point before and after there are half a year trading data A H stocks, collect their corresponding opening price, closing price, trading volume of the daily data. Based on this, the opening price index and closing price index are worked out, and the study on the linkage between A shares and H shares is carried out with the opening price index and closing price index as the main research object of this paper. This paper first analyzes the two indices from the whole. Then, taking March 7th 2011 as the dividing point, it can be divided into two stages: before and after the opening of the market at the same time. This paper makes an empirical study on the linkage between A share price index and H price index by econometrics method. The specific methods are: correlation coefficient test the stability test of ADF data and cointegration test of data. VAR model, impulse response function analysis, variance decomposition, etc. Through empirical analysis, the following conclusions are drawn: 1) in the year from March 7th 2010 to March 7th 2011. There is a strong linkage between A shares and H shares. 2) after the opening of the stock market at the same time, the stock price linkage between A shares and H shares increased; 3) the driving effect of A share price on H share price is more obvious, that is, the linkage effect of H share price following A share price is more obvious. On the basis of theoretical and empirical research, this paper puts forward three suggestions. The suggestions of policy formulation include: establishing temporary market closure system and establishing financial safety net for capital market. Strengthening international regulatory cooperation; Suggestions to investors include: pay attention to the linkage problem, do not blindly follow the trend, treat the problem of AH stock price difference rationally and form the habit of value investment and long-term investment; On the direction of further research on the linkage between A shares and H shares, this paper puts forward the following points: increasing the time span and taking March 5th 2012 as the dividing point to study the linkage of AH shares. Further refinement of the transaction data, the noon closing price and afternoon opening price into the scope of the study, the introduction of event research method.
【学位授予单位】：贵州财经大学
【学位级别】：硕士
【学位授予年份】：2012
【分类号】：F832.51;F224

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