【摘要】：近年來,內地股市與香港股市之間的聯(lián)動已成為事實,文章選取了標準普爾500指數、恒生指數、恒生國企指數和恒生AH股溢價指數,通過逐個與滬深300指數的實證分析,探討兩地股市聯(lián)動的具體原因。通過脈沖響應和方差分解得出各個指數對聯(lián)動原因的貢獻率,發(fā)現造成兩地股市聯(lián)動的主要原因是內地股市自身,其次是HSI,HSAHPI,SP500,最后是HSCEI。對于處在不斷一體化的兩地股市及不斷國際化的內地股市,研究結果對兩地投資者和監(jiān)管部門有一定指導作用。
[Abstract]:In recent years, the linkage between the mainland stock market and the Hong Kong stock market has become a reality. This paper selects the Standard & Poor's 500 Index, the Hang Seng State-owned Enterprises Index and the Hang Seng AH Stock Exchange overflow Index, and through empirical analysis with the Shanghai and Shenzhen 300 Index. Probe into the specific reasons of the stock market linkage between the two places. Through impulse response and variance decomposition, the contribution rate of each index to the linkage is obtained. It is found that the main reason for the linkage between the two stock markets is the mainland stock market itself, followed by the HSI,HSAHPI,SP500, and finally the HSCEI.. The results of the study can guide investors and regulators of the two places, which are in the continuous integration of the two stock markets and the continuous internationalization of the mainland stock market.
【作者單位】： 同濟大學經濟與管理學院;
【基金】：教育部人文社會科學研究項目(07JA790106)
【分類號】：F224;F832.51
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本文編號：2437613