沪港通对我国资本市场效率的影响研究

发布时间：2018-04-21 21:08

本文选题：沪港通 + 资本市场效率　；参考：《哈尔滨工业大学》2017年硕士论文

【摘要】：沪港通政策于2014年11月拉开盛大的帷幕,贯通了境内与香港股票市场乃至境外资本市场互通的大门。该项举措使境内投资者和境外投资者可以直接参与对方市场的股票投资,对促进我国资本市场国际化、完善金融体制建设有着重要意义。如今沪港通政策已运行两年有余,其派生的深港通政策也于2016年第四季度开始顺利运行,政策效果有待考察与研究。本文以经典的“有效市场假说”为理论基础,深入研究了沪港通的政策效应,检验了该政策的积极影响,为促进今后我国资本市场开放政策顺利推行供理论与实证支持。由于沪港通政策为我国资本市场所特有,所以文章主要从国外文献中寻找有关市场效率的理论支撑以及模型的构造方法,从国内文献中学习基于境内资本市场开放的一系列政策的研究方法。在沪港通政策运行两年且深港通顺利推出的此时,对于沪港通政策对我国资本市场的影响进行研究,样本时间达到一定长度,政策效应初步显现,对我国资本市场建设和国际化进程具有重要的意义。首先对沪港通的运行状况进行了总结,探讨了资本市场效率的相关理论,在此基础上,系统分析了沪港通对我国资本市场的积极作用,以此出了相关假设。由于沪港通政策天然适合的条件,文章采用双重差分模型进行实证分析。以经典的“有效市场假说”为理论基础,从信息的充分性、准确性和及时性三个角度来考察沪港通的政策效应。三个方面的双重差分模型结果显示,沪港通的施行对我国资本市场上的信息效率有着显著的升效应。在加入了与个股基本面相关的控制变量之后,结果依旧显著,这进一步证明了沪港通的积极效应。但是,在沪港通政策持续发展、深港通应运而生、国内外经济情况日新月异的今天,其运行机制仍有待进一步完善。
[Abstract]:The Shanghai / Hong Kong Stock Connect policy, which opened in November 2014, has opened the door of interworking with the Hong Kong stock market and even the overseas capital market. This measure enables domestic investors and foreign investors to directly participate in the stock investment of the other market. It is of great significance to promote the internationalization of China's capital market and perfect the financial system. Now the Shanghai Stock Connect policy has been in operation for more than two years, and its derivative Shenzhen-Hong Kong Stock Connect policy started to run smoothly in the fourth quarter of 2016. The effect of the policy remains to be examined and studied. Based on the classical "efficient Market hypothesis", this paper studies the policy effect of the Stock Connect of Shanghai and Hong Kong, tests the positive effect of the policy, and provides theoretical and empirical support for the smooth implementation of the capital market opening policy in China in the future. Since the Stock Connect policy is unique to the capital market in China, the article mainly looks for the theoretical support of market efficiency and the method of constructing the model from the foreign literature. Learn from the domestic literature on a series of policies based on the opening of domestic capital markets. At this time, when the Stock Connect policy is running for two years and the Shenzhen Stock Connect has been successfully launched, the impact of the Stock Connect Policy on China's capital market has been studied. The sample time has reached a certain length, and the policy effect has initially appeared. It is of great significance to China's capital market construction and internationalization process. First of all, the paper summarizes the operation of the Stock Connect of Shanghai and Hong Kong, probes into the relevant theories of the efficiency of the capital market, and, on this basis, systematically analyzes the positive role of the Stock Connect in China's capital market and puts forward the relevant assumptions. Due to the natural conditions of the Stock Connect policy, this paper adopts the double difference model to carry on the empirical analysis. Based on the classical "efficient Market hypothesis", the policy effect of Stock Connect is studied from three aspects: adequacy, accuracy and timeliness of information. The results of three double difference models show that the implementation of the Stock Connect has a significant upward effect on the information efficiency in China's capital market. After adding control variables related to individual stock fundamentals, the results are still significant, which further proves the positive effect of Stock Connect. However, with the continuous development of the policy of Stock Connect, Shenzhen Stock Connect emerges as the times require, and the domestic and foreign economic situation is changing with each passing day, its operating mechanism still needs to be further improved.
【学位授予单位】：哈尔滨工业大学
【学位级别】：硕士
【学位授予年份】：2017
【分类号】：F832.51

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