交叉上市、股价联动与证券市场国际化——基于Copula模型的经验证据

Cross-listing,Stock Price Linkage and Security Market Internationalization:Empirical Evidence Based on the Copula Models

交叉上市是联系A股市场与H股市场的纽带,借鉴香港证券市场的发展经验带动中国证券市场发展壮大。本文从交叉上市的视角考察A股市场与H股市场的联动性,选择多种Copula函数、建立常相关和时变相关Copula模型进行比较分析,发现A股市场与H股市场具有较强的联动性,下尾相关性比上尾相关性强。同时,本文从交叉上市活动和香港证券市场的窗口作用,对中国证券市场国际化之路进行探讨并提出政策建议。

market with its listing, applied Cross-listing, linking A-share and H-share, promotes the development of China＇s securities success in Hong Kong security market. In this paper, the author,in perspective of crossmarginal distribution series to discuss the stock price linkages between the two markets by various Copula models. The result indicates that there is a strong correlation between A-share and H-Share and that the correlation in lower tail is stronger than that in up tail. In the end, some suggestions are offered for the internationalization of China＇s securities.