本文關(guān)鍵詞： A、H股 聯(lián)動(dòng)效應(yīng) 事件研究 時(shí)間序列分析　出處：《河北經(jīng)貿(mào)大學(xué)》2014年碩士論文　論文類型：學(xué)位論文

【摘要】：十八大會(huì)議上明確提出今后將繼續(xù)深化我國(guó)金融市場(chǎng)的體制改革，在維護(hù)金融市場(chǎng)穩(wěn)定的前提下，完善金融監(jiān)管及繼續(xù)推進(jìn)金融創(chuàng)新。因此，在資本項(xiàng)目的進(jìn)一步開放、匯率及利率管制放松的情況下，這些改革措施將會(huì)使我國(guó)的金融市場(chǎng)更開放、更有活力，這同樣會(huì)對(duì)我國(guó)內(nèi)地資本市場(chǎng)尤其是內(nèi)地股市未來的發(fā)展帶來較深刻的變革。 香港自回歸以來，在“一國(guó)兩制”的體制安排下，使得內(nèi)地和香港的股票市場(chǎng)在不同的市場(chǎng)環(huán)境下，沿著各自獨(dú)立的路徑發(fā)展。內(nèi)地股票市場(chǎng)經(jīng)受了一系列重大改革措施的洗禮后，基本上修復(fù)了內(nèi)地股票市場(chǎng)運(yùn)行中所存在著的制度性缺陷，使其正逐步地向著正規(guī)和成熟的方向前進(jìn)，盡管內(nèi)地股市和香港股市的一體化進(jìn)程還有一段很長(zhǎng)的路要走。但兩地間在經(jīng)濟(jì)、貿(mào)易、金融等方面的合作卻越來越密切，尤其是在兩地同時(shí)上市的內(nèi)地企業(yè)所占港股市值的比重越來越大，因此，兩地股市的聯(lián)系越發(fā)緊密。香港是我國(guó)唯一的一個(gè)國(guó)際級(jí)的金融中心，它的股市與國(guó)際資本市場(chǎng)間具有很強(qiáng)的聯(lián)動(dòng)效應(yīng)。于是，研究和分析兩地股市在新環(huán)境背景下的聯(lián)動(dòng)效應(yīng)顯得十分重要。 因此，本文的研究重點(diǎn)是兩個(gè)證券市場(chǎng)之間的聯(lián)動(dòng)情況，為了能很好的代表這兩個(gè)證券市場(chǎng)的發(fā)展走勢(shì)，代表A、H股市場(chǎng)的為上證綜指和香港恒生指數(shù)。利用計(jì)量模型檢驗(yàn)了兩地股市間的相關(guān)關(guān)系、股指間的平穩(wěn)性、協(xié)整關(guān)系及誤差修正機(jī)制，基于VAR模型，檢驗(yàn)了兩個(gè)股市間的互相引導(dǎo)關(guān)系、兩者間對(duì)沖擊的反應(yīng)程度及互相影響的貢獻(xiàn)度。研究分析了2005.1.4.—2013.3.28A、H股市場(chǎng)之間相互作用的實(shí)際狀況。 雖然具有聯(lián)動(dòng)效應(yīng)是一國(guó)股市成熟及開放程度提高的標(biāo)志，但是聯(lián)動(dòng)效應(yīng)帶來的風(fēng)險(xiǎn)卻不容忽視，尤其有重大事件出現(xiàn)時(shí)，，股市間聯(lián)動(dòng)效應(yīng)會(huì)更劇烈。股市間的聯(lián)動(dòng)效應(yīng)是把“雙刃劍”，既能幫助投資者投資獲益，也會(huì)給股票市場(chǎng)帶來動(dòng)蕩。因此，本文最后依據(jù)實(shí)證所得結(jié)果分別向投資者和我國(guó)政府部門等提出了幾點(diǎn)政策建議。
[Abstract]:At the 18 Congress, it was clearly stated that China would continue to deepen the reform of the financial market in the future, improve financial supervision and continue to promote financial innovation on the premise of maintaining the stability of the financial market. Therefore, in the further opening of the capital account, With the relaxation of exchange rate and interest rate control, these reform measures will make our financial market more open and dynamic, which will also bring profound changes to the future development of China's capital market, especially the mainland stock market. Since the reunification, under the "one country, two systems" system, the stock markets of the mainland and Hong Kong have been under different market conditions. After experiencing a series of major reform measures, the mainland stock market has basically repaired the institutional defects existing in the operation of the mainland stock market. They are gradually moving in the direction of formality and maturity. Although there is still a long way to go in the process of integration of the mainland stock market and the Hong Kong stock market, the cooperation between the two places in the areas of economy, trade, finance and so on is getting closer and closer. In particular, mainland enterprises listed in both places account for an increasing proportion of Hong Kong stocks market value. As a result, the two stock markets are more closely linked. Hong Kong is the only international financial center in China. Its stock market has a strong linkage effect with the international capital market, so it is very important to study and analyze the linkage effect of the two stock markets in the new environment. Therefore, this paper focuses on the linkage between the two securities markets. In order to represent the development trend of these two securities markets, The Shanghai Composite Index and Hong Kong Hang Seng Index represent the A, H share market. Using the econometric model to test the correlation between the two stock markets, the stability of the stock index, the cointegration relationship and the error correction mechanism, based on the VAR model, This paper examines the mutual guiding relationship between the two stock markets, the degree of their response to shocks and their contribution to each other, and analyzes the actual situation of the interaction between the H shares market in 2005.4.-2013.28A. Although the linkage effect is a sign of a country's stock market maturity and openness, the risks brought by the linkage effect can not be ignored, especially when major events occur. The linkage effect between the stock markets is a double-edged sword, which can help investors to benefit from investment and bring instability to the stock market. Finally, based on the empirical results, this paper puts forward some policy recommendations to investors and government departments in China.
【學(xué)位授予單位】：河北經(jīng)貿(mào)大學(xué)
【學(xué)位級(jí)別】：碩士
【學(xué)位授予年份】：2014
【分類號(hào)】：F832.51

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