本文關(guān)鍵詞：中國(guó)大陸股市和香港股市的聯(lián)動(dòng)性研究　出處：《暨南大學(xué)》2013年碩士論文　論文類(lèi)型：學(xué)位論文

  更多相關(guān)文章： 大陸股市 香港股市 聯(lián)動(dòng) 協(xié)整檢驗(yàn) 誤差修正模型 脈沖響應(yīng)函數(shù) 方差分解

【摘要】：中國(guó)股市走過(guò)20年，與中國(guó)經(jīng)濟(jì)共同經(jīng)歷了飛速的發(fā)展。自股權(quán)分置改革實(shí)施以來(lái)，大陸股票市場(chǎng)規(guī)模不斷壯大，也逐漸開(kāi)放步入成熟，這期間伴隨全球經(jīng)濟(jì)一體化的節(jié)奏，大陸企業(yè)也不斷實(shí)行“走出去”的戰(zhàn)略目標(biāo)，一大批國(guó)企正陸續(xù)開(kāi)始在香港股票市場(chǎng)上市，大陸與香港貿(mào)易往來(lái)更頻繁，大陸企業(yè)在香港股市中的市場(chǎng)份額也越來(lái)越大，，鑒于此，本文將試圖研究大陸股市與香港股市之間是否存在一定程度的聯(lián)動(dòng)關(guān)系。 本文首先對(duì)關(guān)于股市聯(lián)動(dòng)性方面的理論和實(shí)證文獻(xiàn)進(jìn)行回顧，并以此作為理論基礎(chǔ)，進(jìn)一步對(duì)影響兩地股市聯(lián)動(dòng)性的因素做了分析。選取上證指數(shù)和香港恒生指數(shù)作為兩地股市的代表，在此基礎(chǔ)上，以QFII制度正式進(jìn)入中國(guó)為起點(diǎn)，利用發(fā)生在大陸股市的兩個(gè)重要事件：股權(quán)分置改革和全球金融危機(jī)爆發(fā)，把2003年7月8日——2013年1月31日分為3個(gè)階段，對(duì)恒生指數(shù)和上證指數(shù)首先進(jìn)行年度收益率的聯(lián)動(dòng)性檢驗(yàn)，接下來(lái)用協(xié)整檢驗(yàn)的方法對(duì)聯(lián)動(dòng)性進(jìn)行實(shí)證分析，如果得到二者之間具有長(zhǎng)期協(xié)整關(guān)系，則進(jìn)一步用脈沖響應(yīng)函數(shù)、格蘭杰因果檢驗(yàn)、方差分解等方法來(lái)驗(yàn)證他們之間是如何相互作用的。 得出的結(jié)論是：大陸股市和香港股市聯(lián)動(dòng)性不斷增強(qiáng)。在第1個(gè)階段，兩地股市不具有聯(lián)動(dòng)關(guān)系，而在第2、3階段，兩地股市之間存在長(zhǎng)期的聯(lián)動(dòng)效應(yīng)。從相互關(guān)系上來(lái)看，大陸股市的變化會(huì)對(duì)香港股市產(chǎn)生較大的沖擊，而香港股市對(duì)大陸股市影響并不顯著。在得出結(jié)論后，并分別對(duì)金融監(jiān)督管理部門(mén)和股市投資者提出建議，也表達(dá)了文章的不足和對(duì)未來(lái)學(xué)術(shù)研究的展望。
[Abstract]:China's stock market has experienced rapid development together with the Chinese economy after 20 years. Since the implementation of the split share structure reform, the mainland stock market has grown in scale and gradually opened into maturity. During this period, with the pace of global economic integration, mainland enterprises have also continuously implemented the strategic goal of "going out". A large number of state-owned enterprises are beginning to list on the Hong Kong stock market one after another, and trade between the mainland and Hong Kong has become more frequent. In view of the growing market share of mainland companies in the Hong Kong stock market, this paper will try to study whether there is a certain degree of linkage between the mainland stock market and the Hong Kong stock market. This paper first reviews the theoretical and empirical literature on stock market linkage and takes it as the theoretical basis. This paper further analyzes the factors that affect the linkage of the two stock markets. The Shanghai Stock Exchange Index and the Hong Kong Hang Seng Index are selected as the representatives of the two stock markets. On this basis, the QFII system formally enters China as the starting point. Taking advantage of the two important events in the mainland stock market: the split share structure reform and the outbreak of the global financial crisis, this paper divides July 8th 2003 to January 31st 2013 into three stages. First of all, Hang Seng Index and Shanghai Stock Exchange index are tested on the linkage of annual yield, and then the co-integration test is used to empirically analyze the linkage, if there is a long-term cointegration relationship between them. Then the impulse response function, Granger causality test and variance decomposition are used to verify how they interact. The conclusion is that the linkage between the mainland stock market and the Hong Kong stock market is increasing. In the first stage, there is no linkage between the two stock markets, but in the second stage. There is a long-term linkage effect between the two stock markets. In terms of mutual relations, the changes in the mainland stock market will have a big impact on the Hong Kong stock market, while the Hong Kong stock market will not have a significant impact on the mainland stock market. The suggestions to the financial supervision and management department and the stock market investors are put forward respectively, and the deficiency of the article and the prospect of the future academic research are also expressed.
【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】：2013
【分類(lèi)號(hào)】：F832.51

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本文編號(hào)：1364654