沪港证券市场间联动关系研究

发布时间：2018-05-07 03:25

本文选题：证券市场 + 股票指数　；参考：《湖南大学》2014年硕士论文

【摘要】：随着我国加入WTO后，证券市场正处于快速的国际化进程中，怎样制定有效的市场开放政策，减轻或者避免经济金融危机情况下国际市场对我国证券市场的过度联动冲击，是市场监管部门和国内研究者关注的重大课题。因此，分析在一个经济活动中的各个市场主体的表现，结合其市场联动的环境与起因，研究上海和香港两个市场主体开放政策的差异以及经验，并对我国的证券市场的开放政策进行概括，具有一定的理论意义和实践作用。本文对A股与H股的总体状况进行详细说明，然后以证券市场相关的国际联动理论假说为基础，从研究变革发展和市场环境等方面分析因素和差异，对2007年至2012年之间的上证综合指数和恒生综合指数日收盘价进行了实证研究，采用了协整分析、脉冲响应函数分析、方差分解和格兰杰因果检验等分析方法，重点对市场间、行业间的联动性进行了检验（地产、公用事业、金融三个行业间的股指联动），最后就证券市场的发展提出了若干管理建议。研究结果表明，，上海股市与香港股市不存在长期的均衡关系，但在2007年美国次贷危机和随后的欧债危机中两者的关系得到显著增强。行业间与市场间的联动关系相比存在一定的差异，地产业在沪港证券市场间存在长期的协整关系，并且是长期正相关关系。公用事业间的联动关系不十分明显，不存在协整关系。金融行业间的联动关系与上海股市及香港股市综指之间联动关系一致，在次贷危机以后加强，且延续到后来的欧债危机。
[Abstract]:With China's entry into WTO, the securities market is in a rapid process of internationalization. How to formulate effective market opening policies to mitigate or avoid the excessive impact of the international market on China's securities market under the economic and financial crisis. It is a major issue that market supervision department and domestic researcher pay close attention to. Therefore, by analyzing the performance of various market players in an economic activity and combining the environment and causes of their market linkage, the paper studies the differences and experiences of the opening policies of the two market players in Shanghai and Hong Kong. The opening policy of China's securities market is summarized, which has certain theoretical and practical significance. This paper gives a detailed description of the general situation of A shares and H shares, and then, based on the hypothesis of international linkage theory related to the stock market, analyzes the factors and differences from the aspects of change, development and market environment. This paper studies the daily closing price of Shanghai Composite Index and Hang Seng Composite Index between 2007 and 2012, and adopts cointegration analysis, impulse response function analysis, variance decomposition and Granger causality test, etc. This paper tests the linkage among industries (real estate, public utilities and finance), and finally puts forward some management suggestions on the development of securities market. The results show that there is no long-term equilibrium relationship between Shanghai stock market and Hong Kong stock market, but the relationship between Shanghai stock market and Hong Kong stock market has been significantly strengthened in 2007 during the U.S. subprime mortgage crisis and the subsequent European debt crisis. There are some differences in the linkage relationship between industries and markets. There is a long-term cointegration relationship and a long-term positive correlation between the real estate industry and the Shanghai and Hong Kong securities markets. The linkage relationship between public utilities is not very obvious, there is no cointegration relationship. The linkage between the financial sector and the Shanghai and Hong Kong Composite Index was consistent, strengthened after the subprime mortgage crisis, and continued into the European debt crisis.
【学位授予单位】：湖南大学
【学位级别】：硕士
【学位授予年份】：2014
【分类号】：F832.51;F224

【参考文献】