关于分割股票市场间信息传递的过程研究

On the Process of Information Transmission Between Segmented Stock Markets

应用结构向量自回归(SVAR)模型对国内外分割市场间的信息传递过程进行了研究,尤其是分析B股的开放和QFII制度的实施对国内市场信息传递过程的影响。研究发现:H股和S&P500指数对A、B股具有显著的收益率溢出效应,反映了国内外市场的融合趋势;QFII制度实施后,A、B股收益率之间的信息传递过程反映了A、B股系统风险的降低;相应地,国内A、B股投机性也在减弱,说明在国外投资者的示范效应下,国内投资者交易理念渐趋成熟,从而进一步反映了国内资本市场的成熟。

The paper dealt with the process of information transmission between segmented stock markets at home and abroad with SVAR model. It especially analyzed the impact on the information transmission after Share B was opened to domestic traders and QFⅡ was carried out. The results showed that Share H and S＆P500 Index had the ＂spillover effect＂ on Share A and B in the aspect of return,which reflected the trend of synchronization between domestic and foreign markets. After QFII was carried out, the process of information transmission between Share A and Share B reflected that the system risk fell down in Share A and B. According, the opportunism in Share A and B trailed off,mainly because of the demonstration effect by tots in trading faith under the demonstration influence of foreign foreign investors, the maturity of domestic invesinvestors, which further reflects the maturation of domestic capital market.