中国香港股票市场的溢出效应和收益引导角色——基于亚太地区股票市场的分析

Spillover effects and the leading role of Hong Kong stock market:Analysis of Asian-pacific stock markets

从两个角度考察了亚太股市间的关系:同期的收益(波动)溢出效应和跨期的收益可预测性(领先—滞后关系).首先,通过构造溢出指数和滚动窗口分析,研究亚太地区股市的同期收益(波动)溢出效应,发现近二十年随着各国金融合作与区域一体化进程加速,亚太地区股市收益(波动)溢出效应均呈现波动上升趋势.进一步研究中国香港对其他亚太地区股市的溢出效应,发现中国香港股市收益溢出指数显示出其区域的领导地位及其影响力逐渐加强;波动溢出指数震荡幅度较大,金融危机时期呈现跳跃式变化.结合经济、政治等事件分析,发现中国香港股市的发展和国际区域合作会提高其溢出效应,而在危机中波动溢出效应大幅提升,社会和政治稳定性会降低中国香港的溢出效应.最后。

This paper examines contemporaneous spillover effects of stock returns（volatility）among Asian Pacific markets,as well as the return predictability（lead-lag relationship）.With the spillover index,this paper characterizes return and volatility spillover effects,and subsequently tracks time variation in spillover effects with rolling window estimation.The upward trend in the spillover index is consistent with a maintained increase in financial market integration.The return spillover index of Hong Kong stock market shows a leading role and the growing influence in the Asian-Pacific region,and the volatility spillover index of Hong Kong market ranges widely and responds to financial crises.Further analysis shows that the development of Hong Kong stock market and the cooperation with other regions generate spillover,that the financial crisis induces large volatility spillover,and that the political instability reduces the spillover and results in a declining influence of Hong Kong.Moreover,this paper explores the lead-lag relationship among monthly stock returns and identifies a leading role of Hong Kong.Finally,the sub-sample analysis shows that the global financial crisis weakens the leading role of Hong Kong.The empirical results have important policy implications in helping us understand the risk contagion mechanism,how to enhance the macro prudential regulations in each country,and how to maintain the role of global financial center of Hong Kong.