资本市场开放进程中沪深港通交易对AH股价共跳的影响——基于权重股作用机制的考察

The Impact of Shanghai-Hong Kong and Shenzhen-Hong Kong Stock Connects on AH Stock Price Co-jumps in the Process of Capital Market Opening:Research Based on the Mechanism of Weighted Stocks

频繁的股价跳跃是考虑尾部风险时需要前置关注的问题,也是资本市场开放进程中监管部门需要重视的内容。本文考察了沪深港通交易对AH股价共跳的影响效果以及背后的作用渠道。同时,对比分析权重股与非权重股共跳差异,探究资本市场开放进程中权重股作用的转变。研究表明:沪深港通交易对AH股价共跳具有正向加剧作用,且加剧作用主要通过降低股票流动性实现,同时AH股价共跳并非是市场效率提升的体现。在全样本区间内,沪深港通主要对非权重股共跳产生加剧作用,但对权重股共跳起到抑制作用,权重股总体上表现出稳定市场的作用。然而,当遇到资金流动规模增大,人民币汇率下行以及投资者情绪低迷时,权重股反而共跳加剧,形成对市场暴涨暴跌的推波助澜。因此,需要重视资本市场开放进程中存在的跳跃风险,为实现资本市场高水平对外开放提供保障。

Frequent stock price jumps are issues that require prior attention when considering tail risk.They are also the content that regulatory authorities need to pay attention to in the process of capital market opening.This paper examines the impact of Shanghai-Hong Kong and Shenzhen-Hong Kong stock connects on AH stock price co-jumps and the underlying channels of action.At the same time,based on comparative and analysis of the differences in stock prices co-jumps between weighted and non-weighted stocks,this paper explores the transformation of the role of weighted stocks in the process of capital market opening.The research shows that Shanghai-Hong Kong and Shenzhen-Hong Kong stock connects have a positive aggravating effect on AH stock price co-jumps,and this aggravating effect is mainly achieved by reducing stock liquidity.In the meanwhile,the occurrence of AH stock price co-jumps are not the embodiment of market efficiency improvement.In the whole sample range,Shanghai-Hong Kong and Shenzhen-Hong Kong stock connects mainly aggravate the co-jumps of non-weighted stocks,but inhibit the co-jumps of weighted stocks.Weighted stocks generally shows the role of stabilizing the market.However,when the scale of capital flows increases,the RMB exchange rate falls and investor sentiment is depressed,co-jumps of weighted stocks have increased,presenting a driving force for the sharp rise and fall of the market.Therefore,it is necessary to pay attention to the jump risk in the process of opening up the capital market,and provide guarantee for achieving a high level of opening up to the outside world.