沪深股市联动效应研究——微观基础与实证检验

Research on Shanghai and Shenzhen Stock Market Linkage Effect——The Micro Foundation and Empirical Test

不同证券市场联动是金融自由化、一体化的标志,也是诱发金融动荡的重要因素。文章通过构建散户投资者决策行为的微观理论模型,演绎证券市场联动效应的内生机理并提出理论假说,进而采用VEC-GARCH-CCC模型进行实证检验。研究表明沪深两市指数存在长期一致性,收益率存在短期双向因果联系,沪市对深市的影响占据主导地位。两市收益率服从"尖峰厚尾"的t分布特征而且存在波动的聚集性与长期持续性,但是"新"、"旧"信息以及"利好"、"利空"信息对市场的冲击不存在差异性。实证结论不仅支持了理论假说,而且对于金融监管当局维持证券市场稳定以及投资者合理制定投资决策都具有重要的启示意义。

The linkage among different stock markets is the sign of financial liberalization and integration, and it is also the important factor to lead to financial turbulences. We deduce the endogenous mechanism of the stock market linkage effect and put forward the theoretical hypothesis by a microscopic theoretical model including retail investor behavior, and the theoretical hypothesis are empirically test by a VEC-GARCH-CCC model. The results have shown the long-term consistency exist in 2 stock markets＇ price index. There are two-way causal relationships of the market return in the short term, but the influence of Shanghai to Shenzhen is more significant. The return follow t-distribution and return＇s volatility show clustering and long-term persistence, however there are not the differences in the ＂new-old＂ and ＂good-negative＂ information. The empirical conclusions support hypothesis and are great enlightenments for maintaining stability and reasonable investment in the stock market.