本文關(guān)鍵詞：滬港通背景下滬港股市聯(lián)動(dòng)性研究　出處：《貴州財(cái)經(jīng)大學(xué)》2017年碩士論文　論文類型：學(xué)位論文

  更多相關(guān)文章： 滬港通 股票 聯(lián)動(dòng)性

【摘要】：為了進(jìn)一步適應(yīng)資本市場的投資需求和發(fā)展前景,2014年11月17日,中國內(nèi)地與香港的資本市場聯(lián)合推行了“滬港通”制度,允許兩地具有投資資格的用戶按照當(dāng)?shù)氐淖C券中介公司的要求進(jìn)行合法合規(guī)的股票買賣。這一舉措可謂是意義深遠(yuǎn),它既能充分發(fā)揮資本市場的功能,也能對股票市場之間的聯(lián)動(dòng)性予以正確的指導(dǎo),避免因?yàn)橐恍┻`法違規(guī)的負(fù)面影響而對股市造成過大的沖擊,還能進(jìn)一步推進(jìn)人民幣的國際化進(jìn)程,加強(qiáng)兩地的政治經(jīng)濟(jì)親密度。本文在現(xiàn)在的歷史條件下,以滬港兩地股市聯(lián)動(dòng)性為根本,以相關(guān)的國內(nèi)外先進(jìn)、科學(xué)、可執(zhí)行的有關(guān)文獻(xiàn)為依據(jù),首先,對股市聯(lián)動(dòng)性的基本理論和滬港通政策的理論根基進(jìn)行分析,運(yùn)用比較分析法對滬港通制度、市場間的傳導(dǎo)機(jī)制進(jìn)行剖析,其次,選取代表兩個(gè)市場的上證綜指和恒生指數(shù)作為研究樣本,以滬港通的籌備和發(fā)出作為時(shí)間節(jié)點(diǎn),劃分為三段時(shí)間通過構(gòu)建VAR模型,并同股票進(jìn)行相關(guān)的檢驗(yàn)來衡量兩地股票市場的長期聯(lián)動(dòng)性,將市場間的非對稱性考慮其中,運(yùn)用DCC-EGARCH模型來精準(zhǔn)的衡量收益率的時(shí)變性。對模型中的數(shù)據(jù)、架構(gòu)和相關(guān)理論進(jìn)行細(xì)致的闡述,確保有大量的真實(shí)數(shù)據(jù)能保障模型的科學(xué)性和可執(zhí)行性,實(shí)證結(jié)果顯示,兩個(gè)市場的聯(lián)動(dòng)性隨著政策的推行在不斷地加強(qiáng),同時(shí),滬市體現(xiàn)出了對于“利空消息”的作用小于“利好消息”這一特有的現(xiàn)象與包括香港市場在內(nèi)的國際上主要的股票市場是不同的,最后,為滬港通制度和現(xiàn)狀的現(xiàn)存問題對政策制定者和投資者分別提出較有建設(shè)性的建議。論文研究發(fā)現(xiàn):在“滬港通”尚未正式推出之前,預(yù)期的長期的協(xié)整性并不存在;而在“滬港通”第三期也就是滬港通政策正式落實(shí)后,滬港兩地股市才開始出現(xiàn)預(yù)期的協(xié)整關(guān)系,香港股市引導(dǎo)著滬市股市的波動(dòng),滬市對港股市場并沒有引導(dǎo)作用,滬市對于利空消息的反應(yīng)大過利好消息的反應(yīng),該方面與大部分股票市場是相反的,“滬港通”開通后,兩市間的相關(guān)系數(shù)也在不斷地上升。通過上面的實(shí)證研究結(jié)果可以對市場的不同參與者提出各自的建議,對我國的金融監(jiān)管機(jī)構(gòu)而言,應(yīng)在金融創(chuàng)新的基礎(chǔ)上更多的關(guān)注風(fēng)險(xiǎn)控制,加快我國資本市場國際化步伐,同時(shí),應(yīng)當(dāng)不斷地豐富金融政策,強(qiáng)化資者的專業(yè)投資水平,不斷的向成熟的市場看齊。對個(gè)人投資者來說,切不可失去理性,應(yīng)當(dāng)運(yùn)用專業(yè)知識和投資經(jīng)驗(yàn)正確的處理“滬港通”給予的一切,選擇適合每個(gè)人的風(fēng)險(xiǎn)和收益之間的配比,在可承受的風(fēng)險(xiǎn)狀況下,享受收益最大化。
[Abstract]:In order to further meet the demand for investment and development prospects, the capital market in November 17, 2014, Chinese mainland and Hongkong capital market jointly launched the "Shanghai Hong Kong" system, allowing two users with investment qualification legal compliance in accordance with the local securities trading intermediary company. This move is of far-reaching significance, it can give full play to the function of the capital market, but also can provide correct guidance for the linkage between the stock market and avoid some negative effects because of illegal and excessive impact on the stock market, but also further promote the process of internationalization of the RMB, to strengthen political and economic cohesion. In this paper, two in the current historical conditions, in order to Shanghai Hong Kong stock market linkage is fundamental to the relevant domestic and foreign advanced, scientific, relevant literature can be performed as the basis, first of all, based on the stock market linkage The theoretical foundation of the theory and policy of Shanghai and Hong Kong through analysis, using the method of comparative analysis on the Shanghai and Hong Kong through system, analyzes the conduction mechanism of the market between the second, representative of two market of Shanghai Composite Index and hang seng index as the research sample, to Shanghai and Hong Kong to prepare and issue as the time node, divided into three sections by time to construct the VAR model, and to measure the long-term linkage between the two stock markets with the stock related inspection, the asymmetry between the market into account, the time-varying DCC-EGARCH model is used to measure the accurate rate of return. The model data in the framework and the related theory in detail, to ensure real data a lot can ensure the scientific model and implementation, the empirical results show that the two market linkage with the implementation of the policy of strengthening, at the same time, the Shanghai stock market reflects on "bad elimination The role of interest "is less than" good news "of this unique phenomenon and including Hongkong market, the major international stock market is different, finally, the existing problems for Shanghai and Hong Kong through the system and the status quo are put forward a constructive suggestion for policy makers and investors. The study found that before the" Shanghai Hong Kong has not yet officially launched, the expected long-term cointegration does not exist; in the Shanghai and Hong Kong through third period is after the formal implementation of the policy of Shanghai and Hong Kong, Shanghai and Hong Kong stock market began a cointegration relationship is expected, the Hongkong stock market leads the Shanghai Stock Market Volatility, the Shanghai stock market on the Hong Kong stock market and there is no guiding role. The Shanghai stock market for bad news than good news of the reaction and the reaction, most of the stock market is on the contrary, Shanghai and Hong Kong through open, correlation coefficient between the two cities are constantly rising through. The results of empirical research can put forward their own proposals for different market participants, for China's financial regulators, should pay attention to risk control more on the basis of financial innovation, accelerate the pace of internationalization of China's capital market at the same time, should continue to enrich the financial policies, strengthen investor professional investment level constantly the line to the mature market. For individual investors, not without reason, everything should use professional knowledge and investment experience and correct treatment of Shanghai and Hong Kong through giving the choice between risks and benefits for everyone in the ratio of risk conditions, enjoy the maximum benefits.

【學(xué)位授予單位】：貴州財(cái)經(jīng)大學(xué)
【學(xué)位級別】：碩士
【學(xué)位授予年份】：2017
【分類號】：F832.51

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