“沪港通”股指双向波动溢出效应研究  

Study on the Two- Way Volatility Spillover Effect of Shanghai- Hong Kong Stock Connect Prqgram

作　　者：姚世斌[1] 潘艳 

机构地区：[1]西华大学工商管理学院 [2]中国金融研究中心

出　　处：《价格理论与实践》2016年第4期133-136,共4页Price:Theory & Practice

基　　金："四川省会计学专业综合改革试点"项目资助

摘　　要："沪港通"的开启建立了沪港两市间资本市场的联通机制,对沪港两市的联动性产生了重要影响。本文采用VAR-MVGARCH-BEKK模型和DCC-MVGARCH模型,对沪股通与"港股通"之间存在的双向波动溢出效应进行分析,结果表明:"港股通"对"港股通"的波动聚集效应强于"港股通"对"港股通",而"港股通"对"港股通"的波动持久溢出效应也强于"港股通"对"港股通"。"沪港通"的成功实施,对即将开启的深港通有较强的借鉴意义。The creation of Shanghai-Hong Kong Stock Connecting program connects the capital market between Shanghai and Hong Kong, which makes great difference on the two markets. By analyzing the data under the VAR-MVGARCH-BEKK model and DCC-MVGARCH model, conclusions are obtained from the results through comparison and then recommendations are offered according to the conclusions, we find that a two-way volatility spillover ef- fect exists between the plate of Shanghai and Hong Kong in Shanghai-Hong Kong Stock Con- necting program. Specifically, the Volatility clustering effect of the Hong Kong stock market is stronger than that of the Shanghai stock market, but the Volatility persistence effect is the opposite. The successful implementation of The Shanghai-Hong Kong Stock Connecting program will be more oriented and more experience can be applied to the open- ing of the Shenzhen-Hong Kong Stock Connecting program.

关 键 词：“沪港通” 股票波动溢出效应 “深港通”指数 DCC-MVGARCH模型 

分 类 号：F832.51[经济管理—金融学]