沪港通背景下内地与香港股市间的波动溢出效应及形成机理

发布时间：2018-01-27 16:55

本文关键词： 沪港通行业指数价格波动溢出效应　出处：《深圳大学》2017年硕士论文　论文类型：学位论文

【摘要】：在实现人民币国际化,提升我国国际地位过程中,迫切需要推进我国资本市场自由化进程。然而,资本市场对外开放,不能急功近利,贸然激进的开放策略会对资本市场造成巨大冲击,甚至引发危机。因此,在推行对外开放政策时,需要对每项资本市场开放政策进行全面评估,尤其重点关注制度变革对本国资本市场以及与跨境资本市场间联系的冲击,以求积极稳妥、循序渐进地推行资本市场对外开放。针对资本市场开放是否强化跨境资本市场间的联系及如何促进波动溢出和风险传染等问题,本文运用事件研究法实证考察沪港通开通前后中国内地与香港股市行业间波动溢出效应的变化及其形成机理。本文首先在文献梳理的基础上,对内地与香港股市间波动溢出效应的形成机理进行理论分析。其次,通过广义溢出指数法,从更微观的行业层面,考察两地股市间的波动溢出效应,并对比分析沪港通开通前后这些波动溢出效应发生变化的特征。再次,建立股市间波动溢出机理模型实证检验沪港通对两地股市行业间波动溢出的影响途径。最后结合实证研究结论,针对性地提出相应的对策建议。通过实证分析,本文得到以下结论:沪港通开通前,信息、电信等第三产业的信息溢出水平较高,但沪港通开通后,材料、工业等第二产业的信息溢出能力显著增强;沪港通的实施提高了两市行业间的双向波动溢出程度,且主要增强了上证各行业对恒生行业的波动溢出强度;除了经济基础、资本流动两个有形因素,市盈率效应、规模效应和投资者情绪变化等内地市场的非理性特征也会显著影响内地与香港股市行业间的波动溢出。在沪港通政策背景下,从行业层面考察两地股市间的波动溢出效应及形成机理,总结当前我国资本市场开放过程中面临的问题,可为完善沪港通、深港通制度以及推行其他创新制度提供借鉴。
[Abstract]:In the process of realizing the internationalization of RMB and promoting our country's international status, we urgently need to promote the process of capital market liberalization in our country. Bold and aggressive opening strategy will have a huge impact on the capital market and even cause a crisis. Therefore, in carrying out the policy of opening to the outside world, it is necessary to conduct a comprehensive evaluation of each policy of opening up to the outside world. Especially focus on the impact of institutional changes on domestic capital markets and cross-border capital markets in order to actively and safely. The capital market opening to the outside world should be carried out step by step. Whether the capital market opening up strengthens the relationship between cross-border capital markets and how to promote volatility spillover and risk contagion and so on. This paper makes an empirical study of the volatility spillover effect between the mainland of China and Hong Kong stock market before and after the opening of the Stock Connect between China and Hong Kong by using the event study method. The formation mechanism of volatility spillover effect between the mainland and Hong Kong stock market is theoretically analyzed. Secondly, through the generalized spillover index method, the volatility spillover effect between the two stock markets is investigated from a more micro industry level. And compare and analyze the characteristics of these volatility spillover effects before and after the opening of Shanghai Stock Connect. Again. The mechanism model of volatility spillover between stock markets is established to test the impact of Stock Connect on volatility spillover between the two stock markets. Finally, combined with the conclusions of the empirical research, the corresponding countermeasures and suggestions are put forward, and the empirical analysis is carried out. This paper draws the following conclusions: before the opening of the Shanghai Stock Connect, the information spillover level of the tertiary industries such as information and telecommunications is relatively high, but after the opening of the Shanghai-Hong Kong Stock Connect, the information spillover capacity of the secondary industries, such as materials and industry, has been significantly enhanced; The implementation of the Stock Connect between Shanghai and Hong Kong has improved the two-way volatility spillover between the two industries, and mainly enhanced the intensity of volatility spillover between Shanghai Stock Exchange and Hang Seng industry. In addition to the economic base, capital flows two tangible factors, the price-earnings ratio effect. The irrational characteristics of the mainland market, such as scale effect and investor sentiment change, will also significantly affect the volatility spillover between the mainland and Hong Kong stock markets. From the view of industry, this paper investigates the volatility spillover effect and its formation mechanism between the two stock markets, and summarizes the problems in the process of opening up the capital market in China, which can be used to perfect the Stock Connect between Shanghai and Hong Kong. The Shenzhen-Hong Kong Link system and the implementation of other innovative systems to provide reference.
【学位授予单位】：深圳大学
【学位级别】：硕士
【学位授予年份】：2017
【分类号】：F832.51

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