沪港通对沪港两市波动性的影响——基于GARCH模型的实证分析

The Study of Shanghai-Hong Kong Stock Connect Program's Impact on the Volatility of Hong Kong and Shanghai Stock Markets——Empirical Analysis Based on GARCH Model

沪港通作为联结沪港两地证券市场的重要桥梁,是我国资本市场对外开放的一次重要尝试,其对证券市场的影响十分值得研究和关注。本文比较分析了沪港通前后两市的波动情况,并分别选取沪港通开通前的2012年11月19日到2014年11月14日及沪港通开通后的2014年11月17日至2016年11月17日的上证指数、恒生指数作为研究上海股票市场和香港股票市场的原始数据,进行描述分析、GARCH模型实证分析和格兰杰因果检验,发现沪港通的开通加剧了沪港两市的波动性,加强了沪港两市的联动性。

Shanghai and Hong Kong Stock Connect Program,as an important part of China's capital market opening to the outside world,are of great concern to China's securities market.This paper aims to study the impact of the opening of Shanghai and Hong Kong Stock Connect Program on the volatility of Shanghai and Hong Kong stock markets.Shanghai Composite Index and Hang Seng Index from November 19,2012 to November 17,2016 are selected to conduct descriptive analysis,empirical analysis and Granger test.The empirical analysis is based on GARCH model.Finally,the opening of Shanghai and Hong Kong Stock Connect Program really exacerbated the volatility of Shanghai and Hong Kong stock markets,strengthened the linkage between Shanghai stock market and Hong Kong stock market.