本文選題：證券市場(chǎng) + 股票指數(shù)　； 參考：《湖南大學(xué)》2014年碩士論文

【摘要】：隨著我國(guó)加入WTO后，證券市場(chǎng)正處于快速的國(guó)際化進(jìn)程中，怎樣制定有效的市場(chǎng)開(kāi)放政策，減輕或者避免經(jīng)濟(jì)金融危機(jī)情況下國(guó)際市場(chǎng)對(duì)我國(guó)證券市場(chǎng)的過(guò)度聯(lián)動(dòng)沖擊，是市場(chǎng)監(jiān)管部門和國(guó)內(nèi)研究者關(guān)注的重大課題。因此，分析在一個(gè)經(jīng)濟(jì)活動(dòng)中的各個(gè)市場(chǎng)主體的表現(xiàn)，結(jié)合其市場(chǎng)聯(lián)動(dòng)的環(huán)境與起因，研究上海和香港兩個(gè)市場(chǎng)主體開(kāi)放政策的差異以及經(jīng)驗(yàn)，并對(duì)我國(guó)的證券市場(chǎng)的開(kāi)放政策進(jìn)行概括，具有一定的理論意義和實(shí)踐作用。 本文對(duì)A股與H股的總體狀況進(jìn)行詳細(xì)說(shuō)明，然后以證券市場(chǎng)相關(guān)的國(guó)際聯(lián)動(dòng)理論假說(shuō)為基礎(chǔ)，從研究變革發(fā)展和市場(chǎng)環(huán)境等方面分析因素和差異，對(duì)2007年至2012年之間的上證綜合指數(shù)和恒生綜合指數(shù)日收盤價(jià)進(jìn)行了實(shí)證研究，采用了協(xié)整分析、脈沖響應(yīng)函數(shù)分析、方差分解和格蘭杰因果檢驗(yàn)等分析方法，重點(diǎn)對(duì)市場(chǎng)間、行業(yè)間的聯(lián)動(dòng)性進(jìn)行了檢驗(yàn)（地產(chǎn)、公用事業(yè)、金融三個(gè)行業(yè)間的股指聯(lián)動(dòng)），最后就證券市場(chǎng)的發(fā)展提出了若干管理建議。 研究結(jié)果表明，，上海股市與香港股市不存在長(zhǎng)期的均衡關(guān)系，但在2007年美國(guó)次貸危機(jī)和隨后的歐債危機(jī)中兩者的關(guān)系得到顯著增強(qiáng)。行業(yè)間與市場(chǎng)間的聯(lián)動(dòng)關(guān)系相比存在一定的差異，地產(chǎn)業(yè)在滬港證券市場(chǎng)間存在長(zhǎng)期的協(xié)整關(guān)系，并且是長(zhǎng)期正相關(guān)關(guān)系。公用事業(yè)間的聯(lián)動(dòng)關(guān)系不十分明顯，不存在協(xié)整關(guān)系。金融行業(yè)間的聯(lián)動(dòng)關(guān)系與上海股市及香港股市綜指之間聯(lián)動(dòng)關(guān)系一致，在次貸危機(jī)以后加強(qiáng)，且延續(xù)到后來(lái)的歐債危機(jī)。
[Abstract]:With China's entry into WTO, the securities market is in a rapid process of internationalization. How to formulate effective market opening policies to mitigate or avoid the excessive impact of the international market on China's securities market under the economic and financial crisis. It is a major issue that market supervision department and domestic researcher pay close attention to. Therefore, by analyzing the performance of various market players in an economic activity and combining the environment and causes of their market linkage, the paper studies the differences and experiences of the opening policies of the two market players in Shanghai and Hong Kong. The opening policy of China's securities market is summarized, which has certain theoretical and practical significance. This paper gives a detailed description of the general situation of A shares and H shares, and then, based on the hypothesis of international linkage theory related to the stock market, analyzes the factors and differences from the aspects of change, development and market environment. This paper studies the daily closing price of Shanghai Composite Index and Hang Seng Composite Index between 2007 and 2012, and adopts cointegration analysis, impulse response function analysis, variance decomposition and Granger causality test, etc. This paper tests the linkage among industries (real estate, public utilities and finance), and finally puts forward some management suggestions on the development of securities market. The results show that there is no long-term equilibrium relationship between Shanghai stock market and Hong Kong stock market, but the relationship between Shanghai stock market and Hong Kong stock market has been significantly strengthened in 2007 during the U.S. subprime mortgage crisis and the subsequent European debt crisis. There are some differences in the linkage relationship between industries and markets. There is a long-term cointegration relationship and a long-term positive correlation between the real estate industry and the Shanghai and Hong Kong securities markets. The linkage relationship between public utilities is not very obvious, there is no cointegration relationship. The linkage between the financial sector and the Shanghai and Hong Kong Composite Index was consistent, strengthened after the subprime mortgage crisis, and continued into the European debt crisis.
【學(xué)位授予單位】：湖南大學(xué)
【學(xué)位級(jí)別】：碩士
【學(xué)位授予年份】：2014
【分類號(hào)】：F832.51;F224

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