基于DCC-MIDAS模型的沪深港股市动态相关性研究

Dynamic Correlations Among Shanghai, Shenzhen and Hong Kong Stock Markets:Based on DCC-MIDAS Model

首次采用DCC-MIDAS模型研究了混合频率数据条件下沪深港股市之间的动态相关性.实证结果表明,内地股市和中国香港股市之间的长期和短期联动性在总体上都呈现出逐步增强的趋势.相比内地股市,中国香港股市波动更容易受到2008年国际金融危机的影响;2015年内地股市的股灾也加剧了中国香港股市的波动.文章还深入讨论了一些典型事件对两地股市联动性的影响,结果发现:股权分置改革使内地股市的定价机制更为合理,从而大大增加了两地股市的联动性;沪港通的实施并没有显著增加这种联动性,而2015年内地股灾则显著增加了这种联动.

In this paper, the DCC-MIDAS model is used to study the dynamic correlation among Shanghai, Shenzhen and Hong Kong stock markets under the condition of mixed frequency data. The results show that the long-term and short-term linkage between the mainland stock markets and the Hong Kong stock market are gradually increasing. Hong Kong stock market volatility is more vulnerable to the 2008 interna- tional financial crisis, and stock market crash in 2015 also increased the volatility of the Hong Kong stock market. This paper also discusses the influence of some typical events on the linkage between the two stock markets. It is found that the reform of the shareholding system makes the pricing mechanism of the mainland stock market more reasonable and greatly increases the linkage between the two stock markets. There is no significant increase in this linkage after the Shanghai and Hong Kong stock connect is promoted, while in 2015 the mainland stock disaster significantly increased this linkage.