金融危机前后内地与香港股市联动性及引导性变化的实证研究

An Empirical Study on the Linkage and Causality Between Stock Markets of Mainland and Hong Kong Before and after American Financial Crisis

运用协整关系检验、格兰杰因果关系检验和脉冲响应分析,从实证的角度对金融危机前后内地股市与香港股市的联动性及引导性等方面所发生的变化进行分析。结果表明,金融危机使得内地股市与香港股市的联动性得以增强,两地股市从原来的单向因果关系转变为双向因果关系,同时内地股市对香港股市的引导关系从原来的不明显变得极其显著。这些变化对处于一体化过程中的两地股市及正在走向国际化的内地股市具有重要的现实意义。

This paper examines the changes of linkage and causality between stock markets of Mainland and Hong Kong before and after the financial crisis,by using Cointegration Test,Granger Causality Test and Impulse Response Function.The empirical results show that the linkage between the two stock markets enhanced after the financial crisis,and causality changed from one-way to two-way.Mainland stock market is extremely significant in guiding the changes in Hong Kong stock market after the financial crisis,while it is not obvious before.These changes are of important practical significance,not only because the two stock markets are in the process of integration,but also the mainland stock markets moving towards internationalization.