互联互通对两岸资本市场联动性的影响

Empirical Test of the Mainland and Hongkong Connectivity Mechanism

本文以香港和内地市场股指作研究对象,通过B-GARCH模型计算得到的动态相关系数,使用频域分析和线性回归方程探讨"沪、深港通"对两岸资本市场联动性与融合程度的影响。实证结果表明:互联互通显著增强了内地与香港市场的中期联动性,且高PE主流行业股联动性增强得更为明显,虽然其显著促进了两岸资本市场的融合与发展,但深港通的影响不及沪港通。此外,这种联动关系在无风险利率较低、资本市场处于熊市、港股通使用额度较高时更明显。

In this thesis, stock index in mainland and Hongkong capital market is researched in order to figure out whether the connectivity mechanism reaches its target of promoting the development of capital market integration and its globalization. Firstly, the dynamic correlation coefficient is calculated by BEKK-GARCH model, then, with the help of frequency domain analysis and multiple linear regression, we find that the connectivity mechanism basically achieves its aim, especially the Hugang tong which was set up 2 years ago. And the mid-term co-movement is more obvious when it comes to the financial and telecom industry stocks which has higher PE value. Besides, this co-movement is more significant when the risk-free inter- est rate is lower and in a bear market, as well as the Ganggu tong usage limit is higher.