互联互通视角下的内地与香港股市长期联动研究

A Study on the Long-Term Co-movement between the Stock Markets of Hong Kong and Mainland from the Perspective of Connectivity

随着内地资本市场不断开放,香港作为中国国际金融中心的地位得到强化,香港与内地资本市场的联系也更加密切。一方面,回归20年来香港与内地的经济联系不断加深,强化了内地与香港股票市场联动性;另一方面,近年来香港与内地资本市场的互联互通对内地与香港股票市场联动产生重要影响。本文通过Johansen协整分析、格兰杰因果关系检验和误差修正模型三种分析方法,检验香港股市与上海股市、香港股市与深圳股市之间的联动性。实证结果表明,回归以来香港与内地股市的长期联动性增强。沪港通、深港通开通后香港与内地股市联动性也有所增强。本文建议强化沪港通、深港通作为内地与香港股票市场互联互通的升级机制,深化中国资本市场对外开放,建设上海、深圳、香港三地共同市场,巩固香港国际金融中心地位。

With the wider opening of mainland’s capital market, Hong Kong is further established as China’s international financial center and more closely linked to the mainland’s capital market. In the past two decades, Hong Kong’s economic ties with the mainland have been deepening, which intensifies the co-movement of mainland and Hong Kong stock markets. On the other hand, the connectivity of Hong Kong’s and mainland’s capital markets has also exerted huge impact on the co-movement. This paper employs the Johansen co-integration test, Granger causality test and the error correction model to analyze the co-movement between Hong Kong’s stock market and Shanghai’s stock market, and between Hong Kong’s stock market and Shenzhen’s stock market. The empirical analysis results show that, there is a more prominent long-term co-movement between Hong Kong’s and mainland’s stock markets since the return of Hong Kong, especially since the launch of the Shanghai-Hong Kong Stock Connect Program and Shenzhen-Hong Kong Stock Connect Program. This paper suggests using the Shanghai-Hong Kong Stock Connect Program and Shenzhen-Hong Kong Stock Connect Program as upgraded mechanisms to strengthen the connectivity between Hong Kong’s and mainland’s stock markets, improving the level of opening up Chinese capital market, building a common market of Shanghai, Shenzhen and Hong Kong, and consolidating Hong Kong’s status as an international financial center.