香港回归前后中国内地股市与香港股市联动机制的甄别与比较——基于Copula-MGARCH模型的测度  

The Screening and Comparison of Linkage Mechanism between China Mainland Stock Market and Hong Kong Stock Market before and after the Handover of Hong Kong: Based on the Measurement of Copula- MGARCH Model

作　　者：闫超[1] 刘金全[1] 王雄威 

机构地区：[1]吉林大学数量经济研究中心,长春130012 [2]中国邮政储蓄银行总行,北京100808

出　　处：《商业研究》2015年第7期43-52,共10页Commercial Research

基　　金：国家社科基金重大项目"‘十二五’期间我国经济周期波动态势与宏观经济调控模式研究";项目编号:10ZD&006;中国博士后科学基金面上项目;项目编号:2013M530961;中国博士后科学基金特别资助项目"经济转轨期我国经济周期波动态势与宏观调控模式研究";项目编号:2014T70272;吉林大学基本科研业务费项目;项目编号:2012BS051

摘　　要：本文运用不同方法估计Copula-MGARCH模型,以期在甄别和判断不同估计方法有效性的基础上,选择最优的估计方法透析和测度香港回归前后中国内地股市与香港股市的联动机制。研究结果表明:与IFM估计方法相比较,利用MBP估计方法计算Copula-MGARCH模型更优;与香港回归前相比较,在香港回归至今的17年里,尽管内地股市与香港股市之间的联动显著增强,但是二者之间的联动机制仍然较弱;内地股市在香港回归前呈现显著的波动迹象,但在香港回归后波动态势趋于平缓;与此相反,香港股市在香港回归前的波动幅度较为微弱,回归后波动特征陡然增强,而且这种波动特征持续了近五年之久。This paper uses a different method to estimate the Copula-MGARCH model, based on screening and judging different estimation methods effectiveness, choose the best estimation method to dialysis and measure the linkage mecha-nism between Mainland Stock Market and Hong Kong Stock Market before and after the return of Hong Kong.The results show that：MBP estimation method is more effective and more accurate than the IFM estimation method;compared with the previous Hong Kong, in the 17 years after Hong Kong′s return, although the linkage between the Mainland Stock Market and the Hong Kong Stock Market is significantly increased, but the linkage mechanism between the two is still weak;the Mainland Stock Market before the reunification showed significant signs of volatility, but since the handover, the Mainland Stock Market volatility trend suddenly leveled off; Hong Kong Stock Market volatility before reunification situation is more gentle, but since the date of handover, Hong Kong Stock Market volatility characteristics suddenly in-creased, and this dramatic fluctuation characteristics lasted nearly five years.

关 键 词：内地股市 香港股市 Copula-MGARCH模型 MBP估计 

分 类 号：F830.59[经济管理—金融学]