“沪港通”对我国股票市场影响的实证研究

发布时间：2018-03-23 00:34

本文选题：股票市场　切入点：“沪港通”　出处：《广西民族大学》2017年硕士论文　论文类型：学位论文

【摘要】：近年来,随着我国经济水平的发展及国际地位的不断提升,人民币国际化的呼声日益高涨。为构建与我国经济发展水平与国际地位相当的经济强国地位,金融强国建设和货币国际化不可或缺,而逐步对外开放资本市场,积极与国际市场接轨就成为必然选择。“沪港通”政策即我国在这种背景下推出的人民币国际化及资本市场对外开放先行一步的试点。本文利用国内学者较少使用的事件研究法,将沪港通分解为“沪港通发布事件”及“沪港通开通事件”,实证分析“沪港通”对我国股市产生的影响。首先,本文选取纳入沪股通和港股通标的股的日度收盘价数据,以及同期的上证综合指数和恒生综合指数作为样本数据。其次,通过使用市场模型得到事件窗口内的正常收益计量模型。再次,使用Stata软件分别求出沪股通和港股通标的股在“沪港通发布事件”和“沪港通开通事件”下,在不同长度的事件窗口内的平均异常收益率(AAR)和累计异常收益率(CAR),并对累计异常收益率进行显著性检验。实证结果表明,“沪港通发布事件”对港股通标的股有正向的影响,对沪股通标的股在短时间内影响不显著,而在较长时间后影响较为显著且表现为持续的正向影响。“沪港通开通事件”对港股通有正向的影响,对沪股通影响不显著。经过分析发现,香港投资者对市场信息反应速度快,香港股票市场的有效性比上海股票市场强。内地投资者非理性投资倾向严重,缺乏理性投资理念。最后本文就我国股市存在的问题,提出了我国应不断推动股市制度创新、加大培育机构投资者等政策建议。
[Abstract]:In recent years, with the development of China's economic level and the continuous improvement of its international status, the voice of RMB internationalization is rising day by day. The construction of financial powers and the internationalization of money are indispensable, and the capital markets have been gradually opened to the outside world. The policy of "Stock Connect between Shanghai and Hong Kong" is the pilot of RMB internationalization and capital market opening to the outside world launched by our country under this background. This paper uses the event research method which is seldom used by domestic scholars. This paper divides the Stock Connect into "Shanghai Stock Connect release event" and "Shanghai-Hong Kong Stock Connect opening event", and empirically analyzes the impact of Shanghai-Hong Kong Stock Connect on China's stock market. Firstly, this paper selects the daily closing price data of the stocks that include Shanghai Stock Connect and Hong Kong Stock Connect. And the Shanghai Composite Index and the Hang Seng Composite Index for the same period as sample data. Secondly, through the use of the market model to get the normal income measurement model in the event window. Again, Using Stata software to find out the stocks that are listed in Shanghai Stock Connect and Hong Kong Stock Connect respectively under the "Shanghai Stock Connect release event" and "Shanghai-Hong Kong Stock Connect opening event", The average abnormal rate of return (AARA) and cumulative abnormal rate of return (CARR) in different length event windows are tested significantly. The empirical results show that the "Shanghai Stock Connect issue event" has a positive impact on the stocks listed in the Hong Kong Stock Connect. The impact of the Shanghai Stock Connect bid was not significant in a short period of time, but the impact was significant and sustained after a long period of time. The "Shanghai-Hong Kong Stock Connect opening incident" had a positive impact on the Hong Kong Stock Connect. The impact on Shanghai Stock Connect is not significant. Through analysis, it is found that Hong Kong investors react quickly to market information, and that the effectiveness of Hong Kong stock market is stronger than that of Shanghai Stock Market. Mainland investors have a serious tendency to make irrational investments. In the end, the paper puts forward some policy suggestions such as pushing forward the innovation of stock market system and increasing the cultivation of institutional investors in the stock market of our country in view of the problems existing in China's stock market.
【学位授予单位】：广西民族大学
【学位级别】：硕士
【学位授予年份】：2017
【分类号】：F832.51

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