摘要
沪深股市与香港股市的一体化趋势是当前理论界和证券界研究的热点问题。本文以股改为转折点,将2003年1月2日—2007年12月28日分为两个阶段,运用Johansen协整关系检验和Granger因果检验对沪深股市和香港股市的日股指收盘数据的协整关系进行了实证研究,结果发现,经过股改的冲击,恒生指数、红筹股指数、H股指数与上证指数、深成指数之间的协整关系和因果关系发生了显著变化,内地股市与香港股市之间的一体化趋势更加明显。
The integration trend of Shanghai ＆ Shenzhen stock markets and Hong Kong stock market is a hotspot studied by both economists and stock brokers. This paper uses the daily data from stock markets in shanghai ＆ shenzhen and Hong Kong from Jan. 2, 2003 to Dec. 28, 2007 to analyze the influences of the shareholder structure reform on the integration trend between them. The results of Johansen cointegration test and Granger test all suggest that the interdependence between the stock markets of the China mainland and Hong Kong is increasing and the integration trend is more obvious after the reform.
出处
《财经问题研究》
CSSCI
北大核心
2008年第9期80-84,共5页
Research On Financial and Economic Issues
基金
教育部人文社会科学研究项目(07JA790106)
关键词
沪深股市
香港股市
一体化
Shanghai ＆ Shenzhen stock markets
Hong Kong stock markets
integration
