沪港通背景下行业间波动溢出效应及形成机理

发布时间：2018-01-17 19:32

本文关键词：沪港通背景下行业间波动溢出效应及形成机理　出处：《数量经济技术经济研究》2017年03期 　论文类型：期刊论文

【摘要】：研究目标:研究资本市场开放是否强化跨境资本市场间的联系及如何促进波动溢出和风险传染等问题。研究方法:运用广义溢出指数法对比分析沪港通开通前后中国内地与中国香港股市行业间波动溢出效应的变化及其形成机理。研究发现:沪港通开通前,信息、电信等第三产业的信息溢出水平较高,但沪港通开通后,材料、工业等第二产业的信息溢出能力显著增强;沪港通的实施提高了两市行业间的双向波动溢出程度,且主要增强了上证各行业对恒生行业的波动溢出强度;市盈率效应、规模效应和投资者情绪变化等内地市场的非理性特征也会影响中国内地与中国香港股市间的波动溢出。研究创新:在沪港通政策背景下,从行业层面考察两地股市间的波动溢出效应及形成机理,将风格投资和投资者情绪等非理性行为因素纳入两地资本市场波动溢出的解释框架。研究价值:为两地资本市场的风险传染机制提供更为系统的视角,为检验内地资本市场开放政策提供更为全面的评估,为推行"深港通"等制度提供借鉴。
[Abstract]:Research objective: to study whether the opening of capital markets strengthens the linkages between cross-border capital markets and how to promote volatility spillover and risk contagion. By using the generalized spillover index method, this paper compares the volatility spillover effect between the mainland of China and Hong Kong stock market before and after the opening of the Stock Connect and its formation mechanism. The information spillover level of the tertiary industry, such as information and telecommunications, is relatively high, but after the opening of the Stock Connect, the information spillover capacity of the secondary industries, such as materials and industry, has been significantly enhanced. The implementation of the Stock Connect between Shanghai and Hong Kong has improved the two-way volatility spillover between the two industries, and mainly enhanced the intensity of volatility spillover between Shanghai Stock Exchange and Hang Seng industry. The irrational characteristics of the mainland market, such as price-earnings ratio effect, scale effect and investor sentiment change, will also affect the volatility spillover between mainland China and Hong Kong stock market. Research and Innovation: under the background of Stock Connect Policy between Shanghai and Hong Kong. From the industry level, the volatility spillover effect and its formation mechanism between the two stock markets are investigated. This paper brings the irrational behavior factors such as style investment and investor sentiment into the explanatory framework of volatility spillover of capital market in both places. Research value: provides a more systematic perspective for the risk contagion mechanism of capital market in both places. To provide a more comprehensive assessment of the mainland's capital market opening policy, and to provide a reference for the implementation of such systems as the Shenzhen-Hong Kong Link.
【作者单位】：深圳大学经济学院;
【基金】：国家自然科学基金项目(71471119) 广东省高等学校优秀青年教师培养计划项目(Yq2013147)的资助
【分类号】：F224;F832.51
【正文快照】： 研究目标:研究资本市场开放是否强化跨境资本市场间的联系及如何促进波动溢出和风险传染等问题。研究方法:运用广义溢出指数法对比分析沪港通开通前后中国内地与中国香港股市行业间波动溢出效应的变化及其形成机理。研究发现:沪港通开通前,信息、电信等第三产业的信息溢出水平

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