沪港通对股票市场波动性和流动性影响的实证研究  

The Impact of Shanghai-Hong Kong Stock Connect Program on the Volatility and Liquidity of the Stock Market

作　　者：许香存[1] 陈志娟[1] 

机构地区：[1]浙江工商大学金融学院,杭州310018

出　　处：《浙江工商大学学报》2016年第6期76-83,共8页Journal of Zhejiang Gongshang University

基　　金：国家自然基金资助项目(71401155);浙江省社科联研究计划(2012Z59);浙江省高校人文社会科学重点研究基地(浙江工商大学金融学研究中心)资助项目(JRTJR20111313)

摘　　要：基于交易机制和异质投资者行为的相互作用,本文采用沪股数据研究了沪港通对股票市场波动性和流动性的影响。结果发现,具有长期价值投资理念的投资者携带国际市场风险进入A股市场,引起中小投资者的过度恐慌,在缺少有效避险的众多衍生工具的情况下,价格波动性增加。在投资风险增加之后,国内机构投资者通过频繁交易过度投机的成本增加,受国际成熟资本市场的吸引逃出内地市场,中小投资者逐渐变得更加谨慎,市场流动性下降。Based on the interaction between the trading mechanism and heterogeneous investors＇ behavior,using Shanghai stocks data,this paper studies the impact of the Shanghai-Hong Kong stock connect program on the volatility and liquidity of the stock market. The result shows that investors with long-term value investment philosophy carry international market risk to the A-share market,which causes excessive panic among medium and small investors. In the absence of derivatives for effectively avoiding risks,price volatility increases. With the increase of the investment risks,the costs of domestic institutional investors＇ frequent trading out of excessive speculation increase and the investors who are attracted by the international mature capital markets escape from the mainland. The medium and small investors are gradually becoming more prudent,which leads to the decrease of market liquidity.

关 键 词：沪港通 投资者行为 流动性 波动性 

分 类 号：F830.91[经济管理—金融学]