沪港通下交叉上市股票的价格联动性研究

发布时间：2018-01-07 17:05

本文关键词：沪港通下交叉上市股票的价格联动性研究　出处：《首都经济贸易大学》2017年硕士论文　论文类型：学位论文

【摘要】：随着全球经济一体化和区域化的不断发展,自上世纪80年代以来,在证券市场上越来越多的新兴经济体选择打开国门在国际市场上进行融资,也就是交叉上市。香港作为我国的一个特别行政区不管是在政治文化还是经贸往来上都与内地有着不可分割的关系,在证券市场上亦是如此。1993年7月15日,第一支内地上市的股票青岛啤酒在香港上市,从此香港的H股市场已成为国内证券市场与国际资本市场接触最直接的平台。为了促进两岸金融市场的互联互通,资金的双向流动,中国证监会与香港证监会2014年4月10日早间联合公告,将于2014年11月17日正式实行沪港通制度。沪港通是指上海证券交易所和香港联合交易所允许两地投资者通过当地证券公司买卖规定范围内的对方交易所上市的股票,是沪港资本市场交易的互联互通机制。经过统计,共有68只在沪港通正式交易前在两地均已上市的股票,本文主要针对这68只交叉上市股票和代表A+H股整体水平的恒生AH(A)与AH(H)指数来具体研究下沪港通制度的实施对于交叉上市股票价格联动性的影响及他们间的相互引导关系。在时间选择上,本文选择从2005年5月9日股权分置至2014年11月14日和2014年11月17日沪港通正式交易至2016年11月17日沪港通交易满两年两组数据进行对比观察;在数据处理上,为了使数据更符合平稳性检验,我们取每日开盘价、收盘价、最高价和最低价的平均价格作为当天的价格指数并对价格指数进行取对数处理以更好地模拟股指的变化趋势;在实证分析上,本文用Eviews 8.0软件先后对两组指数进行了单位根检验、Johansen协整性检验、VECM模型检验以及Granger因果关系检验来验证沪港通制度对于A+H股整体水平的长短期联动性和引导性的影响。在对指数研究的基础上,本文对68只个股和相关板块分别进行了实证分析来检验之前对于指数分析的准确性,最终得出了本文的研究结论并提出相关的政策建议。
[Abstract]:With the continuous development of global economic integration and regionalization, since -20s, more and more emerging economies in the securities market choose to open the door to finance in the international market. Hong Kong, as a special administrative region of China, has inseparable relations with the mainland in terms of political culture and economic and trade exchanges. The same is true of the stock market. In July 15th 1993, Tsing Tao Beer, the first mainland listed stock, was listed in Hong Kong. Since then, the H-share market in Hong Kong has become the most direct platform for the domestic securities market to contact the international capital market. Joint notice between the China Securities and Futures Commission and the Hong Kong Securities and Futures Commission on the morning of April 10th 2014. The Stock Connect system will be implemented on November 17th 2014. The Stock Exchange of Shanghai and the Stock Exchange of Hong Kong allows investors in both places to trade through local securities companies within the scope of their trading regulations. The listed stock. Through statistics, 68 stocks listed in both places were listed before the formal trading of the Stock Connect in Shanghai and Hong Kong. This paper focuses on the 68 cross-listed stocks and Hang Seng AHHU A representing the overall level of A-H shares. The index to study the implementation of the Shanghai Stock Connect system on the cross-listed stock price linkage and their mutual guidance relationship. In the choice of time. This article chooses from May 9th 2005 split shares to November 14th 2014 and November 17th 2014 Stock Connect Shanghai and Hong Kong Stock Connect trading to November 17th 2014 full two years of trading. Group data were compared and observed. In data processing, in order to make the data more consistent with the stability test, we take the daily opening price, closing price. The highest price and the lowest average price are taken as the price index of the day and the logarithmic treatment of the price index is carried out in order to better simulate the change trend of the stock index. In the empirical analysis, we use Eviews 8.0 software to carry on the unit root test and Johansen cointegration test to the two groups of indexes successively. VECM model test and Granger causality test to verify the Shanghai-Hong Kong Stock Connect system on the overall level of A-H-shares long-term and short-term linkage and guidance. On the basis of index research. This paper makes empirical analysis on 68 stocks and related plates to test the accuracy of the index analysis before, and finally comes to the conclusion of this paper and puts forward the relevant policy recommendations.
【学位授予单位】：首都经济贸易大学
【学位级别】：硕士
【学位授予年份】：2017
【分类号】：F832.51

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