“沪港通”对沪、港股市价格波动性和联动性影响研究

发布时间：2018-06-04 08:52

本文选题：沪港通 + 价格联动性　；参考：《暨南大学》2017年硕士论文

【摘要】：2014年11月“沪港通”开通,对中国资本市场发展意义重大。由于政治体制和经济制度存在差异,内地与香港在资本市场的交流存在一定障碍。沪港通的开通,对于两地投资者而言,增加了理财方式与资本增值的途径;对于两地的上市企业来说,减少了其直接融资的成本,对于提高科技转化率、增加企业竞争力以及改善职工待遇等方面,具有不可替代的作用。然而,也有学者指出,沪港通的开通,在加快两市场间信息传递的同时,也加大了风险的传递。本文以此为背景展开研究。首先,本文以上证综指和香港恒生指数日收益率序列为样本数据,采用GARCH模型与非对称TARCH模型,对沪港通开通前后上证综指和香港恒生指数收益率序列的各自波动性变化做了研究,发现一方面沪港通加大了沪、港两地各自股票市场的波动性,对两地股市的稳定性造成了一些影响,但该影响不宜被夸大。另一方面对于上海市场,好消息和坏消息的冲击不存在非对称效应,但对香港股市的冲击存在非对称效应;其次,基于VAR-BEKK-GARCH模型,研究了两地市场之间的波动溢出效应,发现上海市场一直存在对香港市场的单向溢出效应,沪港通改变了香港市场对上海市场的波动溢出效应;最后,为了深层次剖析沪港通开通后两地股票市场发生同涨同跌的现象,基于协整理论的向量自回归模型,对两地股市的联动性做了研究,发现沪港通的开通改变了两地股票市场之间的协整关系,加深了两地股市之间的协同变化性,建立起了牢固的均衡关系。
[Abstract]:The opening of the Stock Connect in November 2014 is of great significance to the development of China's capital market. Due to the differences between political system and economic system, there are some obstacles to the exchange between the mainland and Hong Kong in the capital market. The opening of the Stock Connect between Hong Kong and Shanghai has increased the means of financing and capital appreciation for investors in both places. For listed enterprises in both places, it has reduced the cost of direct financing and increased the conversion rate of science and technology. Increase the competitiveness of enterprises and improve the treatment of workers and other aspects, has an irreplaceable role. However, some scholars point out that the opening of the Stock Connect accelerates the transmission of information between the two markets, but also increases the transmission of risks. This paper takes this as the background to carry out the research. Firstly, based on the daily yield series of Shanghai Composite Index and Hong Kong Hang Seng Index, the paper adopts GARCH model and asymmetric TARCH model. This paper studies the volatility changes of the Shanghai Composite Index and the Hong Kong Hang Seng Index return series before and after the opening of the Stock Connect. It is found that, on the one hand, the Shanghai Stock Connect has increased the volatility of the stock markets of Shanghai and Hong Kong, and that of Hong Kong and Hong Kong. It has had some impact on the stability of both markets, but it should not be exaggerated. On the other hand, for Shanghai market, there is no asymmetric effect on the impact of good news and bad news, but there is asymmetric effect on the impact on Hong Kong stock market. Secondly, based on VAR-BEKK-GARCH model, the volatility spillover effect between the two markets is studied. It is found that there has always been a one-way spillover effect on the Hong Kong market, and the Stock Connect has changed the volatility spillover effect of the Hong Kong market on the Shanghai market. In order to deeply analyze the phenomenon of the stock market rising and falling in both places after the opening of the Stock Connect between Shanghai and Hong Kong, based on the vector autoregressive model of cointegration theory, this paper makes a study on the linkage of the two stock markets. It is found that the opening of the Stock Connect between Shanghai and Hong Kong has changed the cointegration relationship between the two stock markets, deepened the synergetic change between the two stock markets, and established a firm equilibrium relationship.
【学位授予单位】：暨南大学
【学位级别】：硕士
【学位授予年份】：2017
【分类号】：F832.51

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