A股与H股市场联动效应的实证研究

发布时间：2018-02-16 15:47

本文关键词： A、H股联动效应事件研究时间序列分析　出处：《河北经贸大学》2014年硕士论文　论文类型：学位论文

【摘要】：十八大会议上明确提出今后将继续深化我国金融市场的体制改革，在维护金融市场稳定的前提下，完善金融监管及继续推进金融创新。因此，在资本项目的进一步开放、汇率及利率管制放松的情况下，这些改革措施将会使我国的金融市场更开放、更有活力，这同样会对我国内地资本市场尤其是内地股市未来的发展带来较深刻的变革。香港自回归以来，在“一国两制”的体制安排下，使得内地和香港的股票市场在不同的市场环境下，沿着各自独立的路径发展。内地股票市场经受了一系列重大改革措施的洗礼后，基本上修复了内地股票市场运行中所存在着的制度性缺陷，使其正逐步地向着正规和成熟的方向前进，尽管内地股市和香港股市的一体化进程还有一段很长的路要走。但两地间在经济、贸易、金融等方面的合作却越来越密切，尤其是在两地同时上市的内地企业所占港股市值的比重越来越大，因此，两地股市的联系越发紧密。香港是我国唯一的一个国际级的金融中心，它的股市与国际资本市场间具有很强的联动效应。于是，研究和分析两地股市在新环境背景下的联动效应显得十分重要。因此，本文的研究重点是两个证券市场之间的联动情况，为了能很好的代表这两个证券市场的发展走势，代表A、H股市场的为上证综指和香港恒生指数。利用计量模型检验了两地股市间的相关关系、股指间的平稳性、协整关系及误差修正机制，基于VAR模型，检验了两个股市间的互相引导关系、两者间对冲击的反应程度及互相影响的贡献度。研究分析了2005.1.4.—2013.3.28A、H股市场之间相互作用的实际状况。虽然具有联动效应是一国股市成熟及开放程度提高的标志，但是联动效应带来的风险却不容忽视，尤其有重大事件出现时，，股市间联动效应会更剧烈。股市间的联动效应是把“双刃剑”，既能帮助投资者投资获益，也会给股票市场带来动荡。因此，本文最后依据实证所得结果分别向投资者和我国政府部门等提出了几点政策建议。
[Abstract]:At the 18 Congress, it was clearly stated that China would continue to deepen the reform of the financial market in the future, improve financial supervision and continue to promote financial innovation on the premise of maintaining the stability of the financial market. Therefore, in the further opening of the capital account, With the relaxation of exchange rate and interest rate control, these reform measures will make our financial market more open and dynamic, which will also bring profound changes to the future development of China's capital market, especially the mainland stock market. Since the reunification, under the "one country, two systems" system, the stock markets of the mainland and Hong Kong have been under different market conditions. After experiencing a series of major reform measures, the mainland stock market has basically repaired the institutional defects existing in the operation of the mainland stock market. They are gradually moving in the direction of formality and maturity. Although there is still a long way to go in the process of integration of the mainland stock market and the Hong Kong stock market, the cooperation between the two places in the areas of economy, trade, finance and so on is getting closer and closer. In particular, mainland enterprises listed in both places account for an increasing proportion of Hong Kong stocks market value. As a result, the two stock markets are more closely linked. Hong Kong is the only international financial center in China. Its stock market has a strong linkage effect with the international capital market, so it is very important to study and analyze the linkage effect of the two stock markets in the new environment. Therefore, this paper focuses on the linkage between the two securities markets. In order to represent the development trend of these two securities markets, The Shanghai Composite Index and Hong Kong Hang Seng Index represent the A, H share market. Using the econometric model to test the correlation between the two stock markets, the stability of the stock index, the cointegration relationship and the error correction mechanism, based on the VAR model, This paper examines the mutual guiding relationship between the two stock markets, the degree of their response to shocks and their contribution to each other, and analyzes the actual situation of the interaction between the H shares market in 2005.4.-2013.28A. Although the linkage effect is a sign of a country's stock market maturity and openness, the risks brought by the linkage effect can not be ignored, especially when major events occur. The linkage effect between the stock markets is a double-edged sword, which can help investors to benefit from investment and bring instability to the stock market. Finally, based on the empirical results, this paper puts forward some policy recommendations to investors and government departments in China.
【学位授予单位】：河北经贸大学
【学位级别】：硕士
【学位授予年份】：2014
【分类号】：F832.51

【参考文献】