沪港通对上海和香港股票市场影响的分析

Analysis of Impact of Shanghai-Hong Kong Stock Connection on the Stock Market of Shanghai and Hong Kong

文章以沪港通开通前连续600个交易日和沪港通开通后连续600个交易日的数据为基础,运用分段回归的方法,对比了沪港通开通前后不同时间段上证指数与恒生指数的联动性。并对沪港通开通前后上证指数与恒生指数的波动情况进行了对比分析。结果发现：沪港通的开通,在短期内增加了上海和香港股票市场的联动性,同时也在短期内给两地市场波动造成冲击。但沪港通的效应是短期的,随着时间推移,沪港通对上海和香港股票市场的影响效力已逐渐褪去,上海和香港股票市场的联动性和波动率又回归到开通前的状态。

On the basis of the data in the 600 consecutive trading days before and after the opening of Shanghai-Hongkong Stock Connection, this paper uses subsection regression method to compare the linkage of Shanghai Index and Hang Seng Index at different periods before and after the opening. And then the paper compares the change of fluctuations of Shanghai Index and Hang Seng Index before and after Shanghai-Hong Kong Stock Connection. The result finds that the linkage of Shanghai Index and Hang Seng Index is increased in the short term, and at the same time bring impact on the volatility of the two markets. But the effect of Shanghai-Hong Kong Stock Connection is short, and as time goes on, the effect has gradually faded. Shanghai and Hong Kong stock market linkage and volatility returns to the pre-launch status.