沪港股市的市场联动性分析.pdf

摘要 随着内地股市各项政策的逐步规范和市场逐渐开放，上海股市与国际市场股 市之间的联动效应越来越强，本文主要探讨上海与香港之间的股市市场联动效应。 随着全球经济一体化逐步发展，不同地区之间的经济交流越来越密切；香港与内 地之间具有独特的地理经济相关性，近年来随着中国逐渐扩大的市场影响力，使 得上海、香港两地股市之间的相关性越来越强。 本文主要运用协整理论与ARCH 族模型分别从沪港股市指数和收益率的角 度来探讨两者的相关性。考虑到前人多次研究已经证明2002 年之前沪港两地基 本不存在协整关系，故本文数据选自2002 年QFII 制度引入之后到2013 年底，中 间发生了股权分置改革和金融危机等事件，就以这些重大事件为分割点，把整个 时间段分为三个小时间段。实证分析得出沪港股市总体上存在协整关系。 具体到三个阶段，第一阶段两者互不影响，第二阶段上证指数影响恒生指数， 第三阶段两者互相影响，但是上证指数对恒生指数的影响要大于恒生指数对上证 指数的影响。 关键词：市场联动性 单位根检验 协整 向量自回归模型 ARCH 族模型 ABSTRACT With the mainland stock market more standardized policies and market gradually opening, the linkage effects between Shanghai stock markets and international stock market is growing. This paper mostly discusses the effect of the stock market linkage between Shanghai and Hong Kong. Global economic integration has led to increasingly close interaction among different countries, Hong Kong has a unique geo-economic correlation with the Mainland, and Chinas influence gradually expanded in recent years, so that the correlation between the two markets is growing. In this paper, cointegration theory and ARCH family model are used to explore the correlation between Hong Kong and Shanghai stock market from the perspective of their indices respectively. Taking into account that previous studies have demonstrated many times the two stock markets are basically non-existent before the year 2002, so this article data are selected from the introduction of the system QFII to the end of last year. During this period, a lot of important things occurred, such as the middle split share structure reform and financial crises. With regard to these major events for the split point, the entire time period is divided into three