本文選題：滬港通 + 滬港股市　； 參考：《哈爾濱工業(yè)大學》2017年碩士論文

【摘要】：中國股市近些年已經(jīng)取得了顯著的發(fā)展,但與香港成熟的股票市場仍有一定的差距。由于地域關系近年來內地與香港經(jīng)濟貿易和金融板塊的交流更加密切,兩地股市間聯(lián)動效應變得更加明顯。滬港通在2014年11月17日正式開通,該機制的建立使滬港兩市互聯(lián)互通,這一聯(lián)通機制對滬港兩市間波動溢出效應產(chǎn)生了影響。研究滬港通背景下滬港兩市間波動溢出效應,有助于兩地投資者優(yōu)化投資組合并且對于未來我國資本市場開放的宏觀調控具有指導意義。所以本文基于BEEK-GARCH計量方法分析了滬港通開啟前后滬港兩市在不同時間段內波動溢出效應的變化情況,包括存在性、方向性和強度。本文將2013年11月16日至2016年8月31日分為四個階段,對恒生指數(shù)、上證指數(shù)、滬股通指數(shù)和港股通指數(shù)進行ARCH效應檢驗、建立GARCH模型、進行BEKK-GARCH檢驗。結果表明,滬港通開通后滬港兩地間具有波動溢出效應,股災前半開放的滬港兩市間波動溢出效應方向為港市到滬市,股災期間和股災后滬港兩市間波動溢出效應方向為滬市到港市,并且溢出強度增大;滬港通開通后開放的滬港兩市間一直具有雙向的波動溢出效應,但股災期間和股災后滬市對港市的溢出強度更大。隨著我國資本市場逐步開放,我國證券市場受其他國家資本市場的影響將逐步增強,金融市場之間風險傳遞的可能性增加,這需要我國進一步建立健全金融市場監(jiān)管機制,以應對國際資本沖擊。
[Abstract]:China's stock market has made remarkable progress in recent years, but there is still a gap with Hong Kong's mature stock market. As the regional relationship between the mainland and Hong Kong economic, trade and financial exchanges in recent years more closely, the linkage between the two stock markets has become more obvious. The Stock Connect of Shanghai and Hong Kong was officially launched on November 17, 2014. The establishment of the mechanism makes the two stock markets interconnect, which has an impact on the volatility spillover effect between the two markets. The study of volatility spillover effect between Shanghai and Hong Kong Stock Connect is helpful to optimize the investment portfolio of investors in the two places and has guiding significance for the future macro-control of capital market opening in China. Therefore, based on the BEEK-GARCH method, this paper analyzes the volatility spillover effect of Shanghai and Hong Kong Stock Connect in different time periods, including existence, direction and intensity. This paper divides the period from November 16, 2013 to August 31, 2016 into four stages. We test the ARCH effect of Hang Seng Index, Shanghai Stock Exchange Index, Shanghai Stock Connect Index and Hong Kong Stock Connect Index, establish GARCH model and carry out BEKK-GARCH test. The results show that there are volatility spillover effects between Shanghai and Hong Kong after the opening of the Stock Connect, and the direction of volatility spillover effect between Shanghai and Hong Kong stock markets before the stock disaster is from Hong Kong to Shanghai. During and after the stock disaster, the direction of volatility spillover effect between Shanghai and Hong Kong stock markets is Shanghai stock market, and the intensity of spillover is increasing. After the opening of the Stock Connect between Shanghai and Hong Kong, there has always been a two-way volatility spillover effect between Shanghai and Hong Kong stock exchanges. But during and after the crash, the Shanghai stock market spillover intensity to the Hong Kong market is greater. With the gradual opening of China's capital market, China's securities market will be gradually strengthened by the influence of other countries' capital markets, and the possibility of risk transmission between financial markets will increase, which requires our country to further establish and improve the financial market supervision mechanism. To deal with international capital shocks.
【學位授予單位】：哈爾濱工業(yè)大學
【學位級別】：碩士
【學位授予年份】：2017
【分類號】：F832.51

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本文編號：1798384