沪港通背景下沪港股市联动性研究

发布时间：2018-01-09 00:00

本文关键词：沪港通背景下沪港股市联动性研究　出处：《贵州财经大学》2017年硕士论文　论文类型：学位论文

【摘要】：为了进一步适应资本市场的投资需求和发展前景,2014年11月17日,中国内地与香港的资本市场联合推行了“沪港通”制度,允许两地具有投资资格的用户按照当地的证券中介公司的要求进行合法合规的股票买卖。这一举措可谓是意义深远,它既能充分发挥资本市场的功能,也能对股票市场之间的联动性予以正确的指导,避免因为一些违法违规的负面影响而对股市造成过大的冲击,还能进一步推进人民币的国际化进程,加强两地的政治经济亲密度。本文在现在的历史条件下,以沪港两地股市联动性为根本,以相关的国内外先进、科学、可执行的有关文献为依据,首先,对股市联动性的基本理论和沪港通政策的理论根基进行分析,运用比较分析法对沪港通制度、市场间的传导机制进行剖析,其次,选取代表两个市场的上证综指和恒生指数作为研究样本,以沪港通的筹备和发出作为时间节点,划分为三段时间通过构建VAR模型,并同股票进行相关的检验来衡量两地股票市场的长期联动性,将市场间的非对称性考虑其中,运用DCC-EGARCH模型来精准的衡量收益率的时变性。对模型中的数据、架构和相关理论进行细致的阐述,确保有大量的真实数据能保障模型的科学性和可执行性,实证结果显示,两个市场的联动性随着政策的推行在不断地加强,同时,沪市体现出了对于“利空消息”的作用小于“利好消息”这一特有的现象与包括香港市场在内的国际上主要的股票市场是不同的,最后,为沪港通制度和现状的现存问题对政策制定者和投资者分别提出较有建设性的建议。论文研究发现:在“沪港通”尚未正式推出之前,预期的长期的协整性并不存在;而在“沪港通”第三期也就是沪港通政策正式落实后,沪港两地股市才开始出现预期的协整关系,香港股市引导着沪市股市的波动,沪市对港股市场并没有引导作用,沪市对于利空消息的反应大过利好消息的反应,该方面与大部分股票市场是相反的,“沪港通”开通后,两市间的相关系数也在不断地上升。通过上面的实证研究结果可以对市场的不同参与者提出各自的建议,对我国的金融监管机构而言,应在金融创新的基础上更多的关注风险控制,加快我国资本市场国际化步伐,同时,应当不断地丰富金融政策,强化资者的专业投资水平,不断的向成熟的市场看齐。对个人投资者来说,切不可失去理性,应当运用专业知识和投资经验正确的处理“沪港通”给予的一切,选择适合每个人的风险和收益之间的配比,在可承受的风险状况下,享受收益最大化。
[Abstract]:In order to further meet the demand for investment and development prospects, the capital market in November 17, 2014, Chinese mainland and Hongkong capital market jointly launched the "Shanghai Hong Kong" system, allowing two users with investment qualification legal compliance in accordance with the local securities trading intermediary company. This move is of far-reaching significance, it can give full play to the function of the capital market, but also can provide correct guidance for the linkage between the stock market and avoid some negative effects because of illegal and excessive impact on the stock market, but also further promote the process of internationalization of the RMB, to strengthen political and economic cohesion. In this paper, two in the current historical conditions, in order to Shanghai Hong Kong stock market linkage is fundamental to the relevant domestic and foreign advanced, scientific, relevant literature can be performed as the basis, first of all, based on the stock market linkage The theoretical foundation of the theory and policy of Shanghai and Hong Kong through analysis, using the method of comparative analysis on the Shanghai and Hong Kong through system, analyzes the conduction mechanism of the market between the second, representative of two market of Shanghai Composite Index and hang seng index as the research sample, to Shanghai and Hong Kong to prepare and issue as the time node, divided into three sections by time to construct the VAR model, and to measure the long-term linkage between the two stock markets with the stock related inspection, the asymmetry between the market into account, the time-varying DCC-EGARCH model is used to measure the accurate rate of return. The model data in the framework and the related theory in detail, to ensure real data a lot can ensure the scientific model and implementation, the empirical results show that the two market linkage with the implementation of the policy of strengthening, at the same time, the Shanghai stock market reflects on "bad elimination The role of interest "is less than" good news "of this unique phenomenon and including Hongkong market, the major international stock market is different, finally, the existing problems for Shanghai and Hong Kong through the system and the status quo are put forward a constructive suggestion for policy makers and investors. The study found that before the" Shanghai Hong Kong has not yet officially launched, the expected long-term cointegration does not exist; in the Shanghai and Hong Kong through third period is after the formal implementation of the policy of Shanghai and Hong Kong, Shanghai and Hong Kong stock market began a cointegration relationship is expected, the Hongkong stock market leads the Shanghai Stock Market Volatility, the Shanghai stock market on the Hong Kong stock market and there is no guiding role. The Shanghai stock market for bad news than good news of the reaction and the reaction, most of the stock market is on the contrary, Shanghai and Hong Kong through open, correlation coefficient between the two cities are constantly rising through. The results of empirical research can put forward their own proposals for different market participants, for China's financial regulators, should pay attention to risk control more on the basis of financial innovation, accelerate the pace of internationalization of China's capital market at the same time, should continue to enrich the financial policies, strengthen investor professional investment level constantly the line to the mature market. For individual investors, not without reason, everything should use professional knowledge and investment experience and correct treatment of Shanghai and Hong Kong through giving the choice between risks and benefits for everyone in the ratio of risk conditions, enjoy the maximum benefits.

【学位授予单位】：贵州财经大学
【学位级别】：硕士
【学位授予年份】：2017
【分类号】：F832.51

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