大陆与香港股市联动效应的实证分析

Empirical Analysis of Stock Market Linkage Between China's Mainland and Hong Kong

随着中国市场经济和对外开放程度不断推进,大陆与香港金融市场的合作日益密切,股市间的联动效应也日益显现出来。论文选用2012年12月3日至2018年6月29日上证指数、深证成份指数、沪深300、恒生指数的日交易数据,通过协整检验、Granger检验和四变量VAR-GARCH-BEKK模型,研究分析大陆股市和香港股市之间的溢出效应问题。研究结果表明香港股市和大陆股市不存在长期协整关系,但香港股市对大陆股市存在单向引导作用,研究表明大陆股市的稳健性受香港股市的影响。在波动溢出方面,沪深300指数、上证指数与恒生指数存在双向收入溢出效应,而上证综合指数与恒生指数之间不存在波动溢出效应。

With the continuous advancement of China's economic marketization,the linkage effect between mainland and Hong Kong stock markets is increasingly showing up.This paper selects the daily trading data of Shang Hai stock index,Shen Zhen stock index,csi300 and Hang Seng index on December3,2012,June29,2018,and analyzes the spillover effect between mainland stock market and Hong Kong stock market through co-integration test,Granger test,and VAR-GARCH-BEKK model of four variables.Research results show that Hong Kong and the mainland stock market does not exist a long-term co-integration relationship,but the Hong Kong stock market to the mainland stock market exists one-way guide,which shows that the mainland stock market was affected by the Hong Kong stock market Bi move.In terms of volatility spillover,Hu Sheng 300 index,Shang Hai composite index and Hang Seng index have two-way income spillover effect,while there is no volatility spillover effect between Shang Hai composite index and Hang Seng index.