“沪港通”实现了我国资本市场国际化的初衷吗?——基于多重结构断点和t-Copula-aDCC-GARCH模型的实证分析  

Does Shanghai-Hongkong Stock Connect Program Really Realize the Original Intention of Chinese Capital Market Internationalization? Based on Multi-structure Breaks and t-Copula-aDCC-GARCH Model

作　　者：方艳[1,2] 贺学会[1] 刘凌[1] 曹亚晖[1] 

机构地区：[1]上海对外经贸大学金融管理学院 [2]上海财经大学统计管理学院

出　　处：《国际金融研究》2016年第11期76-86,共11页Studies of International Finance

基　　金：国家自然科学基金资助项目(批准号:11501355);国家社科基金重大项目(批准号:15ZDA058);上海市浦江人才计划项目(项目号:14PJ1404100);教育部人文社会科学研究项目规划基金项目(批准号:15YJA790039);教育部回国人员科研启动基金项目;上海市教育委员会科研创新项目(项目号:15ZZ090);上海市"085"重大攻关项目(项目号:Z085-14107);中国博士后科学基金第59批面上资助

摘　　要：本文在同时考虑市场间动态"非线性"的互联互通性和联动进程中存在的突变性基础上,运用t-Copula更好地捕捉了金融市场之间非对称的尾部相依性的特征;通过tCopula-a DCC-GARCH模型分析框架,对"沪港通"开启前后沪、深、港、美市场间的联动效应及相应断点进行深入、细致地实证分析,以此来探讨"沪港通"是否促进了我国资本市场的国际化进程。分析结果表明:(1)沪、深、港、美市场间确实一直存在动态相依性,并随着市场的不断发展,其相依性逐渐增强。(2)"沪港通"的开启并未如预期那样在统计上明显增强沪、深、港、美市场间的互联互通性。(3)四市间的相依结构在整个股市发展历程中并不是始终保持一致性的,存在多个明显的结构断点。(4)几次重大事件如2002年引入QFII、2005年的股权分置改革、2007年的次贷危机等都会引起四市联动性结构的剧变。This paper takes into account the dynamic ＂nonlinear＂ inter-connection among markets and the mutation ex- isting in the co-movement process, where t-Copula is used to better capture the asymmetric tail dependence among financial markets. Through the t-Copula-aDCC-GARCH analysis framework, we carry out in-depth and detailed empirical analysis on the market co-movement and breakpoints before and after the launch of the Shanghai-Hongkong Stock Connect Program （SHSCP） , in order to investigate whether the launch of SHSCP facilitates the globalization of China＇s capital markets. The results show that： （1） there indeed exists dynamic dependency among the markets of Shanghai, Shenzhen, Hong Kong and the U.S.; and the dependency has been strengthened with the continuous development of the markets; （2） not as expected, the launch of SHSCP has not significantly strengthened inter-connection among the four markets through statistics; （3） the dependence structure among the four markets has not been always consistent in history, and there are a number of significant structural breakpoints; and （4） several major events, such as the introduction of QFII in 2002, the equity division reform in 2005, and the subprime mortgage crisis in 2007 all brought about drastic changes in the dependence structure among the four markets.

关 键 词：非线性相依结构 COPULA函数 aDCC-GARCH模型 BP检验 多重结构断点 

分 类 号：F830.91[经济管理—金融学]