动态相关性视角下我国沪港股市关联性研究

Research on the Correlation of Shanghai and Hong Kong Stock Markets From the Perspective of Dynamic Correlation

为了研究我国沪市和港市金融传染性和“沪港通”的效用情况,文章建立VAR-DCC-GARCH模型,实证分析和测度沪市与香港股票市场的动态关联性。结果表明:沪市和香港股票市场在2008年全球次贷危机前动态关联性不强;在次贷危机过后关联性显著上升,在2008—2015年我国股灾期间,两市间动态关联性表现平稳;随着2017年“沪港通”的发展,沪市和港市的动态相关性有进一步提高。

In order to study the financial contagion of Shanghai and Hong Kong stock markets and the utility of“Shanghai Hong Kong stock connect”,this paper establishes VAR-DCC-GARCH Model to empirically analyze and measure the dynamic correlation between Shanghai and Hong Kong stock markets.The results show that:the dynamic correlation between Shanghai stock market and Hong Kong stock market is not strong before the global subprime mortgage crisis in 2008;the correlation rises significantly after the subprime mortgage crisis,and the dynamic correlation between the two stock markets is stable during the 2008-2015 stock disaster in China;with the development of“Shanghai Hong Kong stock connect”in 2017,the dynamic correlation between Shanghai stock market and Hong Kong stock market has further improved.