本文選題：滬港通 + 資本市場效率��； 參考：《哈爾濱工業(yè)大學(xué)》2017年碩士論文

【摘要】：滬港通政策于2014年11月拉開盛大的帷幕,貫通了境內(nèi)與香港股票市場乃至境外資本市場互通的大門。該項舉措使境內(nèi)投資者和境外投資者可以直接參與對方市場的股票投資,對促進我國資本市場國際化、完善金融體制建設(shè)有著重要意義。如今滬港通政策已運行兩年有余,其派生的深港通政策也于2016年第四季度開始順利運行,政策效果有待考察與研究。本文以經(jīng)典的“有效市場假說”為理論基礎(chǔ),深入研究了滬港通的政策效應(yīng),檢驗了該政策的積極影響,為促進今后我國資本市場開放政策順利推行供理論與實證支持。由于滬港通政策為我國資本市場所特有,所以文章主要從國外文獻中尋找有關(guān)市場效率的理論支撐以及模型的構(gòu)造方法,從國內(nèi)文獻中學(xué)習基于境內(nèi)資本市場開放的一系列政策的研究方法。在滬港通政策運行兩年且深港通順利推出的此時,對于滬港通政策對我國資本市場的影響進行研究,樣本時間達到一定長度,政策效應(yīng)初步顯現(xiàn),對我國資本市場建設(shè)和國際化進程具有重要的意義。首先對滬港通的運行狀況進行了總結(jié),探討了資本市場效率的相關(guān)理論,在此基礎(chǔ)上,系統(tǒng)分析了滬港通對我國資本市場的積極作用,以此出了相關(guān)假設(shè)。由于滬港通政策天然適合的條件,文章采用雙重差分模型進行實證分析。以經(jīng)典的“有效市場假說”為理論基礎(chǔ),從信息的充分性、準確性和及時性三個角度來考察滬港通的政策效應(yīng)。三個方面的雙重差分模型結(jié)果顯示,滬港通的施行對我國資本市場上的信息效率有著顯著的升效應(yīng)。在加入了與個股基本面相關(guān)的控制變量之后,結(jié)果依舊顯著,這進一步證明了滬港通的積極效應(yīng)。但是,在滬港通政策持續(xù)發(fā)展、深港通應(yīng)運而生、國內(nèi)外經(jīng)濟情況日新月異的今天,其運行機制仍有待進一步完善。
[Abstract]:The Shanghai / Hong Kong Stock Connect policy, which opened in November 2014, has opened the door of interworking with the Hong Kong stock market and even the overseas capital market. This measure enables domestic investors and foreign investors to directly participate in the stock investment of the other market. It is of great significance to promote the internationalization of China's capital market and perfect the financial system. Now the Shanghai Stock Connect policy has been in operation for more than two years, and its derivative Shenzhen-Hong Kong Stock Connect policy started to run smoothly in the fourth quarter of 2016. The effect of the policy remains to be examined and studied. Based on the classical "efficient Market hypothesis", this paper studies the policy effect of the Stock Connect of Shanghai and Hong Kong, tests the positive effect of the policy, and provides theoretical and empirical support for the smooth implementation of the capital market opening policy in China in the future. Since the Stock Connect policy is unique to the capital market in China, the article mainly looks for the theoretical support of market efficiency and the method of constructing the model from the foreign literature. Learn from the domestic literature on a series of policies based on the opening of domestic capital markets. At this time, when the Stock Connect policy is running for two years and the Shenzhen Stock Connect has been successfully launched, the impact of the Stock Connect Policy on China's capital market has been studied. The sample time has reached a certain length, and the policy effect has initially appeared. It is of great significance to China's capital market construction and internationalization process. First of all, the paper summarizes the operation of the Stock Connect of Shanghai and Hong Kong, probes into the relevant theories of the efficiency of the capital market, and, on this basis, systematically analyzes the positive role of the Stock Connect in China's capital market and puts forward the relevant assumptions. Due to the natural conditions of the Stock Connect policy, this paper adopts the double difference model to carry on the empirical analysis. Based on the classical "efficient Market hypothesis", the policy effect of Stock Connect is studied from three aspects: adequacy, accuracy and timeliness of information. The results of three double difference models show that the implementation of the Stock Connect has a significant upward effect on the information efficiency in China's capital market. After adding control variables related to individual stock fundamentals, the results are still significant, which further proves the positive effect of Stock Connect. However, with the continuous development of the policy of Stock Connect, Shenzhen Stock Connect emerges as the times require, and the domestic and foreign economic situation is changing with each passing day, its operating mechanism still needs to be further improved.
【學(xué)位授予單位】：哈爾濱工業(yè)大學(xué)
【學(xué)位級別】：碩士
【學(xué)位授予年份】：2017
【分類號】：F832.51

【參考文獻】

相關(guān)期刊論文 前10條

1 金大衛(wèi);馮璐茜;;過度自信、分析師跟進與資本市場定價效率——基于R~2視角的實證研究[J];管理評論;2016年12期

2 趙浩東;;我國資本市場有效性實證研究——以上海股票市場為例[J];經(jīng)濟論壇;2016年08期

3 周春平;;滬港通縮小了A-H股價差異嗎?——來自滬港通成交活躍股的證據(jù)[J];上海金融學(xué)院學(xué)報;2016年03期

4 屠年松;吳常娟;;“滬港通”對中國A、H股市場分割的影響[J];管理現(xiàn)代化;2016年02期

5 徐曉光;余博文;鄭尊信;;內(nèi)地股市與香港股市融合動態(tài)分析——基于滬港通視角[J];證券市場導(dǎo)報;2015年10期

6 戴瑾;;滬港通帶來的市場影響及金融風險[J];中國市場;2015年39期

7 劉榮茂;劉恒昕;;滬港通對滬市股票市場有效性的影響[J];經(jīng)濟與管理研究;2015年08期

8 鄭國姣;楊來科;;滬港通推進人民幣國際化的路徑分析與風險防范[J];經(jīng)濟體制改革;2015年04期

9 劉堯;;“滬港通”對資本流動的影響因素研究[J];金融經(jīng)濟;2015年12期

10 曾玉華;虞晨鴻;張曉棠;;基于“滬港通”的我國資本市場有效性實證檢驗[J];時代金融;2015年05期

相關(guān)博士學(xué)位論文 前2條

1 陳鏡宇;資本開放的經(jīng)濟影響與政策選擇：國際經(jīng)驗及對中國的啟示[D];南開大學(xué);2013年

2 謝政諭;QFII在中國證券市場的效應(yīng)研究[D];南開大學(xué);2012年

相關(guān)碩士學(xué)位論文 前2條

1 孟宇;國外機構(gòu)投資者對中國資本市場有效性的影響[D];西南財經(jīng)大學(xué);2014年

2 高潔;QFII制度對中國股票市場有效性影響的實證研究[D];對外經(jīng)濟貿(mào)易大學(xué);2007年

，

本文編號：1784102