内地股市与香港股市联动原因的实证分析

An Empirical Study on the Reasons of the Co-movement between Mainland Stock Market and Hong Kong Stock Market

近年来,内地股市与香港股市之间的联动已成为事实,文章选取了标准普尔500指数、恒生指数、恒生国企指数和恒生AH股溢价指数,通过逐个与沪深300指数的实证分析,探讨两地股市联动的具体原因。通过脉冲响应和方差分解得出各个指数对联动原因的贡献率,发现造成两地股市联动的主要原因是内地股市自身,其次是HSI,HSAHPI,S&P500,最后是HSCEI。对于处在不断一体化的两地股市及不断国际化的内地股市,研究结果对两地投资者和监管部门有一定指导作用。

In recent years,it＇s no doubt that co-movement is true between China's Mainland stock market and Hong Kong stock market.This paper discusses several main reasons which contribute to the co-movement caused by the indexes of SP500,HIS,HSCEI and HSAHPI,and probes into the specific reasons of the co-movement by analyzing empirically with the HS300 Indexes one by one.The conclusion of impulse response and variance decomposition analysis indicates that the major reason is HS300 itself,followed by HIS,HSAHPI,SP500 and HSCEI successively.The results are beneficial to both investors and regulatory authorities under the ongoing integration of the two stock markets and the continuous internationalization of mainland stock market.