本文選題：滬港通 + 價(jià)格聯(lián)動(dòng)性　； 參考：《暨南大學(xué)》2017年碩士論文

【摘要】：2014年11月“滬港通”開通,對(duì)中國資本市場(chǎng)發(fā)展意義重大。由于政治體制和經(jīng)濟(jì)制度存在差異,內(nèi)地與香港在資本市場(chǎng)的交流存在一定障礙。滬港通的開通,對(duì)于兩地投資者而言,增加了理財(cái)方式與資本增值的途徑;對(duì)于兩地的上市企業(yè)來說,減少了其直接融資的成本,對(duì)于提高科技轉(zhuǎn)化率、增加企業(yè)競(jìng)爭(zhēng)力以及改善職工待遇等方面,具有不可替代的作用。然而,也有學(xué)者指出,滬港通的開通,在加快兩市場(chǎng)間信息傳遞的同時(shí),也加大了風(fēng)險(xiǎn)的傳遞。本文以此為背景展開研究。首先,本文以上證綜指和香港恒生指數(shù)日收益率序列為樣本數(shù)據(jù),采用GARCH模型與非對(duì)稱TARCH模型,對(duì)滬港通開通前后上證綜指和香港恒生指數(shù)收益率序列的各自波動(dòng)性變化做了研究,發(fā)現(xiàn)一方面滬港通加大了滬、港兩地各自股票市場(chǎng)的波動(dòng)性,對(duì)兩地股市的穩(wěn)定性造成了一些影響,但該影響不宜被夸大。另一方面對(duì)于上海市場(chǎng),好消息和壞消息的沖擊不存在非對(duì)稱效應(yīng),但對(duì)香港股市的沖擊存在非對(duì)稱效應(yīng);其次,基于VAR-BEKK-GARCH模型,研究了兩地市場(chǎng)之間的波動(dòng)溢出效應(yīng),發(fā)現(xiàn)上海市場(chǎng)一直存在對(duì)香港市場(chǎng)的單向溢出效應(yīng),滬港通改變了香港市場(chǎng)對(duì)上海市場(chǎng)的波動(dòng)溢出效應(yīng);最后,為了深層次剖析滬港通開通后兩地股票市場(chǎng)發(fā)生同漲同跌的現(xiàn)象,基于協(xié)整理論的向量自回歸模型,對(duì)兩地股市的聯(lián)動(dòng)性做了研究,發(fā)現(xiàn)滬港通的開通改變了兩地股票市場(chǎng)之間的協(xié)整關(guān)系,加深了兩地股市之間的協(xié)同變化性,建立起了牢固的均衡關(guān)系。
[Abstract]:The opening of the Stock Connect in November 2014 is of great significance to the development of China's capital market. Due to the differences between political system and economic system, there are some obstacles to the exchange between the mainland and Hong Kong in the capital market. The opening of the Stock Connect between Hong Kong and Shanghai has increased the means of financing and capital appreciation for investors in both places. For listed enterprises in both places, it has reduced the cost of direct financing and increased the conversion rate of science and technology. Increase the competitiveness of enterprises and improve the treatment of workers and other aspects, has an irreplaceable role. However, some scholars point out that the opening of the Stock Connect accelerates the transmission of information between the two markets, but also increases the transmission of risks. This paper takes this as the background to carry out the research. Firstly, based on the daily yield series of Shanghai Composite Index and Hong Kong Hang Seng Index, the paper adopts GARCH model and asymmetric TARCH model. This paper studies the volatility changes of the Shanghai Composite Index and the Hong Kong Hang Seng Index return series before and after the opening of the Stock Connect. It is found that, on the one hand, the Shanghai Stock Connect has increased the volatility of the stock markets of Shanghai and Hong Kong, and that of Hong Kong and Hong Kong. It has had some impact on the stability of both markets, but it should not be exaggerated. On the other hand, for Shanghai market, there is no asymmetric effect on the impact of good news and bad news, but there is asymmetric effect on the impact on Hong Kong stock market. Secondly, based on VAR-BEKK-GARCH model, the volatility spillover effect between the two markets is studied. It is found that there has always been a one-way spillover effect on the Hong Kong market, and the Stock Connect has changed the volatility spillover effect of the Hong Kong market on the Shanghai market. In order to deeply analyze the phenomenon of the stock market rising and falling in both places after the opening of the Stock Connect between Shanghai and Hong Kong, based on the vector autoregressive model of cointegration theory, this paper makes a study on the linkage of the two stock markets. It is found that the opening of the Stock Connect between Shanghai and Hong Kong has changed the cointegration relationship between the two stock markets, deepened the synergetic change between the two stock markets, and established a firm equilibrium relationship.
【學(xué)位授予單位】：暨南大學(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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本文編號(hào)：1976761