【摘要】：近年來,內(nèi)地股市與香港股市之間的聯(lián)動(dòng)已成為事實(shí),文章選取了標(biāo)準(zhǔn)普爾500指數(shù)、恒生指數(shù)、恒生國企指數(shù)和恒生AH股溢價(jià)指數(shù),通過逐個(gè)與滬深300指數(shù)的實(shí)證分析,探討兩地股市聯(lián)動(dòng)的具體原因。通過脈沖響應(yīng)和方差分解得出各個(gè)指數(shù)對聯(lián)動(dòng)原因的貢獻(xiàn)率,發(fā)現(xiàn)造成兩地股市聯(lián)動(dòng)的主要原因是內(nèi)地股市自身,其次是HSI,HSAHPI,SP500,最后是HSCEI。對于處在不斷一體化的兩地股市及不斷國際化的內(nèi)地股市,研究結(jié)果對兩地投資者和監(jiān)管部門有一定指導(dǎo)作用。
[Abstract]:In recent years, the linkage between the mainland stock market and the Hong Kong stock market has become a reality. This paper selects the Standard & Poor's 500 Index, the Hang Seng State-owned Enterprises Index and the Hang Seng AH Stock Exchange overflow Index, and through empirical analysis with the Shanghai and Shenzhen 300 Index. Probe into the specific reasons of the stock market linkage between the two places. Through impulse response and variance decomposition, the contribution rate of each index to the linkage is obtained. It is found that the main reason for the linkage between the two stock markets is the mainland stock market itself, followed by the HSI,HSAHPI,SP500, and finally the HSCEI.. The results of the study can guide investors and regulators of the two places, which are in the continuous integration of the two stock markets and the continuous internationalization of the mainland stock market.
【作者單位】： 同濟(jì)大學(xué)經(jīng)濟(jì)與管理學(xué)院;
【基金】：教育部人文社會(huì)科學(xué)研究項(xiàng)目(07JA790106)
【分類號(hào)】：F224;F832.51
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本文編號(hào)：2437613