沪港通背景下沪港两市间波动溢出效应分析

发布时间：2018-04-24 21:48

本文选题：沪港通 + 沪港股市　；参考：《哈尔滨工业大学》2017年硕士论文

【摘要】：中国股市近些年已经取得了显著的发展,但与香港成熟的股票市场仍有一定的差距。由于地域关系近年来内地与香港经济贸易和金融板块的交流更加密切,两地股市间联动效应变得更加明显。沪港通在2014年11月17日正式开通,该机制的建立使沪港两市互联互通,这一联通机制对沪港两市间波动溢出效应产生了影响。研究沪港通背景下沪港两市间波动溢出效应,有助于两地投资者优化投资组合并且对于未来我国资本市场开放的宏观调控具有指导意义。所以本文基于BEEK-GARCH计量方法分析了沪港通开启前后沪港两市在不同时间段内波动溢出效应的变化情况,包括存在性、方向性和强度。本文将2013年11月16日至2016年8月31日分为四个阶段,对恒生指数、上证指数、沪股通指数和港股通指数进行ARCH效应检验、建立GARCH模型、进行BEKK-GARCH检验。结果表明,沪港通开通后沪港两地间具有波动溢出效应,股灾前半开放的沪港两市间波动溢出效应方向为港市到沪市,股灾期间和股灾后沪港两市间波动溢出效应方向为沪市到港市,并且溢出强度增大;沪港通开通后开放的沪港两市间一直具有双向的波动溢出效应,但股灾期间和股灾后沪市对港市的溢出强度更大。随着我国资本市场逐步开放,我国证券市场受其他国家资本市场的影响将逐步增强,金融市场之间风险传递的可能性增加,这需要我国进一步建立健全金融市场监管机制,以应对国际资本冲击。
[Abstract]:China's stock market has made remarkable progress in recent years, but there is still a gap with Hong Kong's mature stock market. As the regional relationship between the mainland and Hong Kong economic, trade and financial exchanges in recent years more closely, the linkage between the two stock markets has become more obvious. The Stock Connect of Shanghai and Hong Kong was officially launched on November 17, 2014. The establishment of the mechanism makes the two stock markets interconnect, which has an impact on the volatility spillover effect between the two markets. The study of volatility spillover effect between Shanghai and Hong Kong Stock Connect is helpful to optimize the investment portfolio of investors in the two places and has guiding significance for the future macro-control of capital market opening in China. Therefore, based on the BEEK-GARCH method, this paper analyzes the volatility spillover effect of Shanghai and Hong Kong Stock Connect in different time periods, including existence, direction and intensity. This paper divides the period from November 16, 2013 to August 31, 2016 into four stages. We test the ARCH effect of Hang Seng Index, Shanghai Stock Exchange Index, Shanghai Stock Connect Index and Hong Kong Stock Connect Index, establish GARCH model and carry out BEKK-GARCH test. The results show that there are volatility spillover effects between Shanghai and Hong Kong after the opening of the Stock Connect, and the direction of volatility spillover effect between Shanghai and Hong Kong stock markets before the stock disaster is from Hong Kong to Shanghai. During and after the stock disaster, the direction of volatility spillover effect between Shanghai and Hong Kong stock markets is Shanghai stock market, and the intensity of spillover is increasing. After the opening of the Stock Connect between Shanghai and Hong Kong, there has always been a two-way volatility spillover effect between Shanghai and Hong Kong stock exchanges. But during and after the crash, the Shanghai stock market spillover intensity to the Hong Kong market is greater. With the gradual opening of China's capital market, China's securities market will be gradually strengthened by the influence of other countries' capital markets, and the possibility of risk transmission between financial markets will increase, which requires our country to further establish and improve the financial market supervision mechanism. To deal with international capital shocks.
【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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