沪港通对沪港股市联动性的研究

发布时间：2018-02-14 05:37

本文关键词： 沪港通联动性协整检验沪港股市　出处：《西北大学》2017年硕士论文　论文类型：学位论文

【摘要】：沪港通的正式开启是在二零一四年十一月十七日,那天我国内地证监会和香港证监会一同宣布沪港通开通。作为中国金融改革历史上具有里程碑意义的重大事件,沪港通的启动,标志了中国金融市场向国际迈出了非常重要的一步,这是在QFII、QDII等相关政策之后的最为重大的一步国际化策略。论文通过市场透明度分析、有效市场理论和市场传染理论,全面阐述了沪港通开通之后沪港市场的联动发生了变化的理论根据。并且还提出了沪港通的启动对沪港市场的联动有推动作用的假说,所运用的实证方法,也选取了代表变量对此类假说进行了进一步论证,在论证的基础上又分析到沪港通对我国沪港市场的联动机制。在这篇文章的最后,阐述了全文的主要结论,同时也提出了几点相关政策性的建议供参考。这篇论文主要分为六个部分:第一部分,绪论部分。这部分主要阐述了沪港通启动的背景和笔者研究沪港通的深层动机,研究沪港通对于理论、现实产生值得借鉴的意义。为了撰写这篇文章,笔者特别侧重的专研了许多文献资料,同时作了归类和总结。研究内容、研究方法、研究思路以及这篇文章的创新之处将在这篇文章在接下来的篇幅中呈现。文献综述这一部分主要阐述了理论综述、国内外研究综述,并对所有文献作以评述。第二部分,相关理论基础部分。讲述了沪港通的概念以及特征,联动性的概念,还有关于联动性的基础理论,包括市场透明度理论、有效市场理论还有市场传染理论等。第三部分,沪港股市联动性的现状与影响。在这一部分,笔者先写明了沪港通在开启前后沪港两市间联动性的现状,分为开通前和开通后。然后分析其意义,也就是沪港通开启之后对沪港两市联动性的意义,一共介绍了五点。接下来是沪港通加速内地股市成熟的各个方面,最后通过内地与香港股市经济联系和贸易联系解释了沪港通对沪港作用的现实原因。第四部分,沪港股市之间是否因沪港通的存在而产生联动性的理论研究部分,分别从多个角度进行说明。第五部分,实证分析部分。单位根检验、协整检验、VAR模型、格兰杰因果关系检验等四个检验分别运用到了这部分,笔者采取相应变量,运用计量模型检验沪港通对市场联动的显著性。第六部分,得出最终的整体结论,并提出了几点政策性建议以及进一步研究的方向。这篇论文的研究结论不仅对沪港通进行了分析,并且对于研究者今后分析我国市场开放进程中所有的联动变化探索到了一种有效的实证和理论分析的框架。同时,针对我国政策制定者提供了参考,为深港通等提供了可以借鉴的经验。
[Abstract]:The official opening of the Stock Connect was on November 17th 2014, when the mainland Securities Regulatory Commission and the Hong Kong Securities Regulatory Commission jointly announced the opening of the Shanghai-Hong Kong Stock Connect. As a landmark event in the history of China's financial reform, The launch of the Stock Connect between Shanghai and Hong Kong marks a very important step in the international direction of the Chinese financial market, which is the most important international strategy after the relevant policies such as QFIII / QDII. The efficient market theory and the market contagion theory, comprehensively expound the theoretical basis for the changes in the linkage of the Shanghai-Hong Kong Stock Connect after the opening of the Stock Connect, and also put forward the hypothesis that the launch of the Stock Connect promotes the linkage of the Shanghai-Hong Kong Stock Connect. The empirical method used in this paper also selects representative variables to further demonstrate this kind of hypothesis. On the basis of the demonstration, it also analyzes the linkage mechanism of the Stock Connect to the Shanghai and Hong Kong markets in China. At the end of this paper, This paper expounds the main conclusions of the full text, and at the same time puts forward several relevant policy suggestions for reference. This paper is divided into six parts: the first part, Introduction. This part mainly expounds the background of the launch of the Stock Connect between Shanghai and Hong Kong and the deep motive of the study of the Stock Connect between Shanghai and Hong Kong, and the significance of studying the Stock Connect to the theory and reality. In order to write this article, In particular, the author focuses on a lot of literature materials, and makes a classification and summary, research content, research methods, The research ideas and the innovations of this article will be presented in the next part of the article. This part of the literature review mainly describes the theoretical review, the domestic and foreign research review, and the review of all the literature. Related theoretical foundation part. It describes the concept and characteristics of Stock Connect, the concept of linkage, and the basic theory of linkage, including the theory of market transparency, the theory of efficient market and the theory of market contagion. The third part, In this part, the author first describes the current situation of the linkage between the Shanghai and Hong Kong stock markets before and after the opening of the Stock Connect, which is divided into two parts: before and after the opening of the Stock Connect, and then analyzes its significance. That is, the significance of the connection between Shanghai and Hong Kong after the opening of the Stock Connect, which has introduced five points in total. Next, the Stock Connect accelerates the maturation of the mainland stock market in various aspects. Finally, through the economic and trade links between the mainland and Hong Kong stock markets, the paper explains the practical reasons for the effect of the Stock Connect on Shanghai and Hong Kong. Part 4th, the theoretical study on whether the stock market of Shanghai and Hong Kong has a linkage due to the existence of the Stock Connect between Shanghai and Hong Kong. It is explained from several angles. 5th part, empirical analysis part. Unit root test, cointegration test and Granger causality test are applied to this part. Using the econometric model to test the significance of the linkage between Shanghai and Hong Kong Stock Connect to the market. 6th part, and draw the final conclusion as a whole. Some policy suggestions and further research directions are put forward. The conclusions of this paper not only analyze the Stock Connect between Shanghai and Hong Kong. And for the researchers to analyze all the linkage changes in the process of market opening in China in the future to explore an effective empirical and theoretical analysis framework. At the same time, for the policy makers in China to provide a reference. For Shenzhen Hong Kong link and so on provides the experience which can draw lessons from.
【学位授予单位】：西北大学
【学位级别】：硕士
【学位授予年份】：2017
【分类号】：F832.51

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