本文關(guān)鍵詞： 滬港通 行業(yè)指數(shù) 價(jià)格波動(dòng) 溢出效應(yīng)　出處：《深圳大學(xué)》2017年碩士論文　論文類型：學(xué)位論文

【摘要】：在實(shí)現(xiàn)人民幣國(guó)際化,提升我國(guó)國(guó)際地位過(guò)程中,迫切需要推進(jìn)我國(guó)資本市場(chǎng)自由化進(jìn)程。然而,資本市場(chǎng)對(duì)外開(kāi)放,不能急功近利,貿(mào)然激進(jìn)的開(kāi)放策略會(huì)對(duì)資本市場(chǎng)造成巨大沖擊,甚至引發(fā)危機(jī)。因此,在推行對(duì)外開(kāi)放政策時(shí),需要對(duì)每項(xiàng)資本市場(chǎng)開(kāi)放政策進(jìn)行全面評(píng)估,尤其重點(diǎn)關(guān)注制度變革對(duì)本國(guó)資本市場(chǎng)以及與跨境資本市場(chǎng)間聯(lián)系的沖擊,以求積極穩(wěn)妥、循序漸進(jìn)地推行資本市場(chǎng)對(duì)外開(kāi)放。針對(duì)資本市場(chǎng)開(kāi)放是否強(qiáng)化跨境資本市場(chǎng)間的聯(lián)系及如何促進(jìn)波動(dòng)溢出和風(fēng)險(xiǎn)傳染等問(wèn)題,本文運(yùn)用事件研究法實(shí)證考察滬港通開(kāi)通前后中國(guó)內(nèi)地與香港股市行業(yè)間波動(dòng)溢出效應(yīng)的變化及其形成機(jī)理。本文首先在文獻(xiàn)梳理的基礎(chǔ)上,對(duì)內(nèi)地與香港股市間波動(dòng)溢出效應(yīng)的形成機(jī)理進(jìn)行理論分析。其次,通過(guò)廣義溢出指數(shù)法,從更微觀的行業(yè)層面,考察兩地股市間的波動(dòng)溢出效應(yīng),并對(duì)比分析滬港通開(kāi)通前后這些波動(dòng)溢出效應(yīng)發(fā)生變化的特征。再次,建立股市間波動(dòng)溢出機(jī)理模型實(shí)證檢驗(yàn)滬港通對(duì)兩地股市行業(yè)間波動(dòng)溢出的影響途徑。最后結(jié)合實(shí)證研究結(jié)論,針對(duì)性地提出相應(yīng)的對(duì)策建議。通過(guò)實(shí)證分析,本文得到以下結(jié)論:滬港通開(kāi)通前,信息、電信等第三產(chǎn)業(yè)的信息溢出水平較高,但滬港通開(kāi)通后,材料、工業(yè)等第二產(chǎn)業(yè)的信息溢出能力顯著增強(qiáng);滬港通的實(shí)施提高了兩市行業(yè)間的雙向波動(dòng)溢出程度,且主要增強(qiáng)了上證各行業(yè)對(duì)恒生行業(yè)的波動(dòng)溢出強(qiáng)度;除了經(jīng)濟(jì)基礎(chǔ)、資本流動(dòng)兩個(gè)有形因素,市盈率效應(yīng)、規(guī)模效應(yīng)和投資者情緒變化等內(nèi)地市場(chǎng)的非理性特征也會(huì)顯著影響內(nèi)地與香港股市行業(yè)間的波動(dòng)溢出。在滬港通政策背景下,從行業(yè)層面考察兩地股市間的波動(dòng)溢出效應(yīng)及形成機(jī)理,總結(jié)當(dāng)前我國(guó)資本市場(chǎng)開(kāi)放過(guò)程中面臨的問(wèn)題,可為完善滬港通、深港通制度以及推行其他創(chuàng)新制度提供借鑒。
[Abstract]:In the process of realizing the internationalization of RMB and promoting our country's international status, we urgently need to promote the process of capital market liberalization in our country. Bold and aggressive opening strategy will have a huge impact on the capital market and even cause a crisis. Therefore, in carrying out the policy of opening to the outside world, it is necessary to conduct a comprehensive evaluation of each policy of opening up to the outside world. Especially focus on the impact of institutional changes on domestic capital markets and cross-border capital markets in order to actively and safely. The capital market opening to the outside world should be carried out step by step. Whether the capital market opening up strengthens the relationship between cross-border capital markets and how to promote volatility spillover and risk contagion and so on. This paper makes an empirical study of the volatility spillover effect between the mainland of China and Hong Kong stock market before and after the opening of the Stock Connect between China and Hong Kong by using the event study method. The formation mechanism of volatility spillover effect between the mainland and Hong Kong stock market is theoretically analyzed. Secondly, through the generalized spillover index method, the volatility spillover effect between the two stock markets is investigated from a more micro industry level. And compare and analyze the characteristics of these volatility spillover effects before and after the opening of Shanghai Stock Connect. Again. The mechanism model of volatility spillover between stock markets is established to test the impact of Stock Connect on volatility spillover between the two stock markets. Finally, combined with the conclusions of the empirical research, the corresponding countermeasures and suggestions are put forward, and the empirical analysis is carried out. This paper draws the following conclusions: before the opening of the Shanghai Stock Connect, the information spillover level of the tertiary industries such as information and telecommunications is relatively high, but after the opening of the Shanghai-Hong Kong Stock Connect, the information spillover capacity of the secondary industries, such as materials and industry, has been significantly enhanced; The implementation of the Stock Connect between Shanghai and Hong Kong has improved the two-way volatility spillover between the two industries, and mainly enhanced the intensity of volatility spillover between Shanghai Stock Exchange and Hang Seng industry. In addition to the economic base, capital flows two tangible factors, the price-earnings ratio effect. The irrational characteristics of the mainland market, such as scale effect and investor sentiment change, will also significantly affect the volatility spillover between the mainland and Hong Kong stock markets. From the view of industry, this paper investigates the volatility spillover effect and its formation mechanism between the two stock markets, and summarizes the problems in the process of opening up the capital market in China, which can be used to perfect the Stock Connect between Shanghai and Hong Kong. The Shenzhen-Hong Kong Link system and the implementation of other innovative systems to provide reference.
【學(xué)位授予單位】：深圳大學(xué)
【學(xué)位級(jí)別】：碩士
【學(xué)位授予年份】：2017
【分類號(hào)】：F832.51

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