本文關鍵詞：同時開市背景下AH股的股價聯(lián)動性研究　出處：《貴州財經(jīng)大學》2012年碩士論文　論文類型：學位論文

  更多相關文章： A+H股 聯(lián)動性 協(xié)整 脈沖響應函數(shù) 方差分解

【摘要】：A股和H股的聯(lián)動性問題一直是政府、投資者和學者關注的重大問題，以往學者們針對這一問題做了大量的理論和實證研究。自2011年3月7日起，A股市場和港股市場同時開市。在這樣的背景下，本文在前人關于股票聯(lián)動性問題研究的基礎上，先對以往的研究成果加以總結，然后選取62支，滿足以3月7日為分界點前后都有半年交易數(shù)據(jù)的A+H股票，收集其對應的開盤價、收盤價、成交量的日數(shù)據(jù)，據(jù)此編制開盤價指數(shù)和收盤價指數(shù)。以開盤價指數(shù)和收盤價指數(shù)作為本文的主要研究對象，展開對A股和H股的股價聯(lián)動性問題的研究。 本文首先從整體上對兩個指數(shù)加以分析。然后，以2011年3月7日為分界點，分為同時開市前和同時開市后兩個階段，對A股價格指數(shù)和H價格指數(shù)的聯(lián)動性關系，利用計量經(jīng)濟學方法進行了實證研究。具體方法有：相關系數(shù)檢驗、ADF數(shù)據(jù)的平穩(wěn)性檢驗、數(shù)據(jù)的協(xié)整檢驗、VAR模型、脈沖響應函數(shù)分析、方差分解等。經(jīng)由實證分析，，本文得出以下結論：（1）在2010年3月7日至2011年3月7日的一年中，A股和H股的股價存在較強的聯(lián)動關系；（2）同時開市之后，A股和H股之間的股價聯(lián)動性有所增強；（3）A股股價對H股股價的帶動效應更加明顯，即H股股價跟隨A股股價的聯(lián)動效果更加明顯。 在理論和實證研究的基礎上，本文提出了三方面的建議。政策制定方面的建議包括：建立臨時休市制度、針對資本市場建立金融安全網(wǎng)、加強國際監(jiān)管的合作；對投資者的建議包括：關注聯(lián)動性問題、不要盲目跟風、理性對待AH股價差問題以及養(yǎng)成價值投資和長期投資的習慣；關于A股和H股股價聯(lián)動性問題進一步研究的方向，提出了:增加時間跨度、以2012年3月5日為分界點對AH股的聯(lián)動性進行研究、進一步細化交易數(shù)據(jù)、將中午收盤價和下午開盤價納入研究范圍，引入事件研究法等。
[Abstract]:The linkage between A shares and H shares has been a major concern of the government, investors and scholars. In the past, scholars have done a lot of theoretical and empirical research on this issue. Since March 7th 2011. A-share market and Hong Kong stock market open at the same time. Under this background, this paper summarizes the previous research results and then selects 62 stocks on the basis of previous studies on stock linkage. To meet the March 7th as the demarcation point before and after there are half a year trading data A H stocks, collect their corresponding opening price, closing price, trading volume of the daily data. Based on this, the opening price index and closing price index are worked out, and the study on the linkage between A shares and H shares is carried out with the opening price index and closing price index as the main research object of this paper. This paper first analyzes the two indices from the whole. Then, taking March 7th 2011 as the dividing point, it can be divided into two stages: before and after the opening of the market at the same time. This paper makes an empirical study on the linkage between A share price index and H price index by econometrics method. The specific methods are: correlation coefficient test the stability test of ADF data and cointegration test of data. VAR model, impulse response function analysis, variance decomposition, etc. Through empirical analysis, the following conclusions are drawn: 1) in the year from March 7th 2010 to March 7th 2011. There is a strong linkage between A shares and H shares. 2) after the opening of the stock market at the same time, the stock price linkage between A shares and H shares increased; 3) the driving effect of A share price on H share price is more obvious, that is, the linkage effect of H share price following A share price is more obvious. On the basis of theoretical and empirical research, this paper puts forward three suggestions. The suggestions of policy formulation include: establishing temporary market closure system and establishing financial safety net for capital market. Strengthening international regulatory cooperation; Suggestions to investors include: pay attention to the linkage problem, do not blindly follow the trend, treat the problem of AH stock price difference rationally and form the habit of value investment and long-term investment; On the direction of further research on the linkage between A shares and H shares, this paper puts forward the following points: increasing the time span and taking March 5th 2012 as the dividing point to study the linkage of AH shares. Further refinement of the transaction data, the noon closing price and afternoon opening price into the scope of the study, the introduction of event research method.
【學位授予單位】：貴州財經(jīng)大學
【學位級別】：碩士
【學位授予年份】：2012
【分類號】：F832.51;F224

【參考文獻】

相關期刊論文 前10條

1 駱振心;;金融開放、股權分置改革與股票市場聯(lián)動——基于上證指數(shù)與世界主要股指關系的實證研究[J];當代財經(jīng);2008年04期

2 巴曙松;朱元倩;顧Z

本文編號：1359604