沪港通背景下我国内地股市和香港股市的联动机制研究

发布时间：2018-01-09 15:09

本文关键词：沪港通背景下我国内地股市和香港股市的联动机制研究　出处：《沈阳工业大学》2017年硕士论文　论文类型：学位论文

【摘要】：我国股票市场从产生到现在已有近三十年的历史,经过不断的改革和完善,已逐渐形成一定的规模。一些内地的机构投资者逐渐发展壮大起来,陆续在香港股票市场发行上市,使内地与香港之间的贸易往来更加频繁,内地股市与香港股市间的联动关系日益凸显。而香港作为重要的国际金融中心和内陆经贸窗口,对内地资本市场的开放和发展起到了重要的指引作用,其发展变动必将在较大程度上对内地股市产生影响。尤其是随着沪港通的开启,我国内地股市和香港股市之间的互联互通机制开始建立起来,推动了我国的金融改革开放和人民币的跨境流通,使得越来越多的内地投资者将香港作为重要的境外投资市场,两地股市间的经济贸易合作越来越密切。因此,研究新环境下我国内地股市与香港股市之间的联动效应就显得尤为重要。本文首先对研究的背景、意义、方法以及内容和结构进行了详细阐述;其次,根据所查阅资料和国内外文献综述,对论文涉及到的相关定义和内在机制进行分析;再次,在对沪港通进行详细阐述的同时,对我国内地股市和香港股市的经济贸易联系现状和内地在港上市公司状况进行简述,分析得出两股市之间的经济联系;最后,对本文所需采用的检验方法和原理进行详细介绍,并选取2005年5月9日到2016年11月30日的上证综合指数、香港恒生指数和国企指数的收盘数据为样本,分三个阶段进行实证分析。研究发现:在前两个阶段,我国内地股市和香港股市存在一定程度的分割性,协整关系和相互影响程度较弱,而在第三阶段,随着沪港通的开通,两地股票指数开始出现同步变化,协整关系和相互影响程度逐渐增强,尤其是上证指数和国企指数之间的影响尤为明显。据此,对投资者、监管机构和政府部门提出建议,牢牢把握沪港通带来的机遇,在合理规避风险的前提下通过股市联动机制获取收益。
[Abstract]:China's stock market has nearly 30 years of history from the emergence to now, through continuous reform and improvement, has gradually formed a certain scale, some institutional investors in the mainland have gradually developed and strengthened. One after another, the Hong Kong stock market has been issued and listed, which has made the trade between the mainland and Hong Kong more frequent. As an important international financial center and inland economic and trade window, Hong Kong has played an important role in guiding the opening and development of the mainland's capital market. Especially with the opening of the Stock Connect between Hong Kong and Shanghai, the interconnection mechanism between the mainland stock market and Hong Kong stock market began to be established. It has promoted China's financial reform and opening up and the cross-border circulation of RMB, making more and more mainland investors regard Hong Kong as an important overseas investment market, and the economic and trade cooperation between the two stock markets is becoming closer and closer. It is particularly important to study the linkage effect between the mainland stock market and Hong Kong stock market in the new environment. Firstly, the background, significance, method, content and structure of the study are described in detail. Secondly, according to the literature review and literature review, the related definitions and internal mechanisms involved in the paper are analyzed. At the same time, the paper gives a brief account of the economic and trade links between the mainland stock market and the Hong Kong stock market and the status of the listed companies in Hong Kong, and analyzes the economic links between the two stock markets. Finally, the paper introduces the testing method and principle in detail, and selects the Shanghai Composite Index from May 9th 2005 to November 30th 2016. The closing data of Hang Seng Index and SOE Index in Hong Kong are analyzed in three stages. The results show that the mainland stock market and Hong Kong stock market are separated to a certain extent in the first two stages. The degree of cointegration and mutual influence is weak, and in the third stage, with the opening of the Stock Connect, the stock index between the two places began to change synchronously, and the degree of co-integration and mutual influence gradually increased. In particular, the impact between the Shanghai Stock Exchange index and the state-owned enterprise index is particularly obvious. Accordingly, investors, regulators and government departments are advised to firmly grasp the opportunities presented by the Stock Connect between Shanghai and Hong Kong. In the premise of reasonable risk avoidance through the stock market linkage mechanism to obtain income.
【学位授予单位】：沈阳工业大学
【学位级别】：硕士
【学位授予年份】：2017
【分类号】：F832.51

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