沪港股市非线性协整和信息引导实证研究

Empirical Research on Nonlinear Cointegration and Information Transmission of Hong Kong and Shanghai Stock Market

通过采用门槛协整模型以及分区制门槛Granger因果关系检验法,研究沪港股票市场整合发展趋势以及信息传递方向。研究结果显示,沪港两市股票价格指数存在门槛效应,并且不同区制下的Granger因果关系不同,即不同区制内沪港两市信息传递方向不同。进一步,在分阶段考察两市整合时发现,沪港两市整合速度有不断加快、整合力度逐渐增强的趋势。

This paper mainly study the integration trend of the Shanghai and Hong Kong stock markets and the direction of information transmission by using the threshold cointegration model and the zoning threshold of Granger causality test. The results show that the stock market of the two has a threshold effect. And they have different Granger causality in different zoning. That is, the direction of the two stock markets＇ information transmission is different in different zoning. Furthermore, within the two phases of study about the two markets, we found that the integration between Shanghai and Hong Kong represents a trend of an increased speed and strength.