沪深A、B股市场信息传递路径实证分析

An Empirical Analysis on the Path of Information Flow between Stock A Market and Stock B Market in Shanghai and Shenzhen

运用计量经济学中的ARCH-LM检验、GARCH模型、Granger引导关系检验等分析方法,实证分析了B股市场对境内投资者开放前后沪深两市A指收益率序列与B指收益率序列和非预期收益率序列的Granger引导关系,给出沪深A、B股市场信息传递路径,并且指出从信息流动角度来说,A、B股市场整合的方式是从A股市场向B股市场的内幕消息的传递和从B股市场向A股市场的投资理念的趋同。

With ARCH- LM test, GARCH model and Granger causality test of econometrics put into application, this article analyses the causality between stock A returns ratio series and stock B returns ratio senes and between stock A returns ratio series and stock B non- anticipated returns ratio series in shanghai and Shenzhen stock market before and after B stock market allowed domestic investors to participate. The result is the path of information flow between stock A market and stock B market in Shanghai and Shenzhen, and also supports the conclusion that the way of integration of stock A market and stock B market in China is through undisclosed information flow from stock A market to stock B market and the conform of investment principles from stock B market to stock A market from the angle of information flow.