摘要
"深港通"的制度设计初衷在于加强A股市场的国际化水平、增强境内外金融市场的互联互通。选取"深港通"实施前后的上证综指、深证成指、恒生综指5分钟高频交易数据,运用一种增广的三元BEKK-MGARCH(1,1)模型,实证得出"深港通"在"沪港通"的基础上带来内地与香港股票市场波动溢出的"增量效应",表明"深港通"的开通确实带来了内地与香港资本市场互联互通的新变化,且深港两市的波动溢出变化程度明显大于沪港两市波动溢出变化程度。
The original intention of"Shenzhen-Hong Kong Stock Connect"program is to strengthen the internationalization level of A-share market and enhance the interconnection of domestic and foreign financial markets.By selecting the 5-minute high-frequency trading data of Shanghai Composite Index,Shenzhen Component Index and Hang Seng Composite Index before and after the implementation of"Shenzhen-Hong Kong Stock Connect"program,this paper applies an augmented three variables BEKK-MGARCH(1,1)model to empirically study the"incremental effect"of"Shenzhen-Hong Kong Stock Connect"on the basis of"Shanghai-Hong Kong Stock Connect".It is verified that the opening of"Shenzhen-Hong Kong Stock Connect"does result in new changes for the connectivity of capital markets on the Chinese mainland and in Hong Kong.The volatility spillovers of Shenzhen and Hong Kong are obviously greater than those of Shanghai and Hong Kong.
作者
王仁曾
林敏依
Wang Renzeng;Lin Minyi(Research Center of Chinese Financial Market,School of Economics and Commerce,Soulh China University of Technology,Guangzhou 510006,China)
出处
《西北民族大学学报（哲学社会科学版）》
CSSCI
2020年第2期93-100,共8页
Journal of Northwest Minzu University(Philosophy and Social Sciences)
基金
国家社会科学基金重点项目“金融科技驱动金融市场结构演进、效率变迁及金融稳定性演化研究”(项目编号:19AJY025)。
