沪深A、B股市场分割的实证研究——基于GARCH模型的收益率波动引导关系

Study on Segmentation of Stock A Markets and Stock B Markets in Shanghai and Shenzhen——Based on Study of the Causality Relationship of Returns Ratio Volatility of GARCH-Model

运用计量经济学中GARCH模型和Granger因果性检验。分阶段实证检验了B股市场自对内开放以及汇率制度改革以来,沪深两市A、B指收益率波动的引导关系。得到的结论主要有:B股市场对内开放以来,沪深两市收益率波动的引导关系以及A、B指收益率波动的引导关系有所增强;特别是汇率制度改革以来,A、B股市场收益率波动的引导关系表现得更加显著。

With GARCH Model and Granger Causality Test of econometrics,this article makes an exploration of the causality relationships between Stock A returns ratio volatility and Stock B returns ratio volatility of Shanghai and Shenzhen Stock Markets in three periods.Results demonstrate that after B Stock Market allowed domestic investors to participate,the causality relationship of returns ratio volatility between Shanghai and Shenzhen Stock Markets and between Stock A and Stock B Markets has strengthened,especially after the Foreign Exchange Regime Reform in 2005 the causality relationship of returns ratio volatility between Stock A and Stock B Markets seems to be more significant.