中国大陆股市和香港股市的联动性研究

发布时间：2018-01-01 13:15

本文关键词：中国大陆股市和香港股市的联动性研究　出处：《暨南大学》2013年硕士论文　论文类型：学位论文

【摘要】：中国股市走过20年，与中国经济共同经历了飞速的发展。自股权分置改革实施以来，大陆股票市场规模不断壮大，也逐渐开放步入成熟，这期间伴随全球经济一体化的节奏，大陆企业也不断实行“走出去”的战略目标，一大批国企正陆续开始在香港股票市场上市，大陆与香港贸易往来更频繁，大陆企业在香港股市中的市场份额也越来越大，，鉴于此，本文将试图研究大陆股市与香港股市之间是否存在一定程度的联动关系。本文首先对关于股市联动性方面的理论和实证文献进行回顾，并以此作为理论基础，进一步对影响两地股市联动性的因素做了分析。选取上证指数和香港恒生指数作为两地股市的代表，在此基础上，以QFII制度正式进入中国为起点，利用发生在大陆股市的两个重要事件：股权分置改革和全球金融危机爆发，把2003年7月8日——2013年1月31日分为3个阶段，对恒生指数和上证指数首先进行年度收益率的联动性检验，接下来用协整检验的方法对联动性进行实证分析，如果得到二者之间具有长期协整关系，则进一步用脉冲响应函数、格兰杰因果检验、方差分解等方法来验证他们之间是如何相互作用的。得出的结论是：大陆股市和香港股市联动性不断增强。在第1个阶段，两地股市不具有联动关系，而在第2、3阶段，两地股市之间存在长期的联动效应。从相互关系上来看，大陆股市的变化会对香港股市产生较大的冲击，而香港股市对大陆股市影响并不显著。在得出结论后，并分别对金融监督管理部门和股市投资者提出建议，也表达了文章的不足和对未来学术研究的展望。
[Abstract]:China's stock market has experienced rapid development together with the Chinese economy after 20 years. Since the implementation of the split share structure reform, the mainland stock market has grown in scale and gradually opened into maturity. During this period, with the pace of global economic integration, mainland enterprises have also continuously implemented the strategic goal of "going out". A large number of state-owned enterprises are beginning to list on the Hong Kong stock market one after another, and trade between the mainland and Hong Kong has become more frequent. In view of the growing market share of mainland companies in the Hong Kong stock market, this paper will try to study whether there is a certain degree of linkage between the mainland stock market and the Hong Kong stock market. This paper first reviews the theoretical and empirical literature on stock market linkage and takes it as the theoretical basis. This paper further analyzes the factors that affect the linkage of the two stock markets. The Shanghai Stock Exchange Index and the Hong Kong Hang Seng Index are selected as the representatives of the two stock markets. On this basis, the QFII system formally enters China as the starting point. Taking advantage of the two important events in the mainland stock market: the split share structure reform and the outbreak of the global financial crisis, this paper divides July 8th 2003 to January 31st 2013 into three stages. First of all, Hang Seng Index and Shanghai Stock Exchange index are tested on the linkage of annual yield, and then the co-integration test is used to empirically analyze the linkage, if there is a long-term cointegration relationship between them. Then the impulse response function, Granger causality test and variance decomposition are used to verify how they interact. The conclusion is that the linkage between the mainland stock market and the Hong Kong stock market is increasing. In the first stage, there is no linkage between the two stock markets, but in the second stage. There is a long-term linkage effect between the two stock markets. In terms of mutual relations, the changes in the mainland stock market will have a big impact on the Hong Kong stock market, while the Hong Kong stock market will not have a significant impact on the mainland stock market. The suggestions to the financial supervision and management department and the stock market investors are put forward respectively, and the deficiency of the article and the prospect of the future academic research are also expressed.
【学位授予单位】：暨南大学
【学位级别】：硕士
【学位授予年份】：2013
【分类号】：F832.51

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