本文選題：深港通 + Copula函數(shù)��； 參考：《哈爾濱商業(yè)大學(xué)學(xué)報(社會科學(xué)版)》2017年04期

【摘要】：以上證指數(shù)和恒生指數(shù)作為研究對象,通過構(gòu)建t-Copula模型對深港通開通前后滬港股市的相關(guān)性進(jìn)行分析,研究發(fā)現(xiàn),滬港兩地股票市場的在深港通開通前后都存在著正項相關(guān)關(guān)系,但相關(guān)系數(shù)不大,在深港通開通之后,滬港兩地股市的相關(guān)性有所降低。一方面說明深港通的開通資金流向出現(xiàn)一定程度的分流現(xiàn)象,致使滬股和港股市的相關(guān)程度降低,同時也說明深港通開通的有效性。
[Abstract]:Taking Shanghai Stock Exchange Index and Hang Seng Index as the research objects, this paper analyzes the correlation between Shanghai and Hong Kong stock markets before and after the opening of Shenzhen Stock Connect through the construction of t-Copula model. There is a positive correlation between the stock market of Shanghai and Hong Kong before and after the opening of Shenzhen Stock Connect, but the correlation coefficient is not large. After the opening of Shenzhen Stock Connect, the correlation between Shanghai and Hong Kong stock markets has been reduced. On the one hand, it shows that the capital flow of Shenzhen-Hong Kong Stock Connect is diverting to a certain extent, which reduces the correlation between Shanghai Stock Exchange and Hong Kong Stock Market, and at the same time, it also shows the validity of Shenzhen-Hong Kong Stock Connect opening.
【作者單位】： 哈爾濱商業(yè)大學(xué)金融學(xué)院;
【基金】：黑龍江省自然科學(xué)基金項目(F2016029)
【分類號】：F832.51

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