沪深港股市动态联动性研究——基于三元VAR-GJR-GARCH-DCC的新证据

发布时间：2018-03-13 00:40

本文选题：沪深港股市　切入点：经济一体化　出处：《经济评论》2012年01期 　论文类型：期刊论文

【摘要】：随着经济全球化的迅速发展,国际资本市场呈现出一体化趋势,各地证券价格的联动性也日趋显著。本文梳理已有理论文献,并总结经验成果的不足,在此基础上,构建三元VAR-GJR-GARCH-DCC整合分析框架,对沪深港股市联动效应进行了严谨而全面的实证检验。研究结果表明:沪深港三个市场具有联动效应,直接或间接引导对方;沪深股市对港市的新息冲击做出类似的反应,并且它们与港市的动态关联性具有趋同性,该结论为沪深两市合并提供了新证据;三个市场的相关性具有时变的动态特征,"中国因素"与"世界因素"的相关性正趋于增强。上述实证结论对投资者重新认识市场运行机制,合理制定投资策略以及监管当局有效防范国内外股市风险,推进股市整合均具有重要的启示意义。
[Abstract]:With the rapid development of economic globalization, the international capital market presents a trend of integration, and the linkage of securities prices is becoming more and more obvious. This paper constructs a ternary VAR-GJR-GARCH-DCC integration analysis framework and makes a rigorous and comprehensive empirical test of the linkage effect of Shanghai and Shenzhen stock markets. The results show that the three markets of Shanghai and Shenzhen have linkage effects and direct or indirect guidance to each other; The Shanghai and Shenzhen stock markets have similar responses to the Hong Kong market's innovation impact, and their dynamic correlation with the Hong Kong stock market is similar. This conclusion provides new evidence for the merger of the Shanghai and Shenzhen stock markets; The correlation of the three markets is time-varying and the correlation between "China factor" and "world factor" is increasing. It is of great significance to make reasonable investment strategy, to prevent domestic and foreign stock market risks effectively and to promote the integration of stock market.
【作者单位】：中国人民大学经济学院;
【基金】：中国人民大学创新基金项目(10XNH058)的资助
【分类号】：F224;F832.51

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