沪港通制度、公司股价演进与分层效应——理论模型与经验证据  

Study on Company Stock Price Evolution and Layering Effect under Shanghai-Hong Kong Stock Connect System:Theoretical Model and Empirical Evidence

作　　者：顾海峰[1] 张芮[1] Gu Haifeng Zhang Rui(Glorious Sun School of Business and Management of Donghua University, Shanghai 200051, China)

机构地区：[1]东华大学旭日工商管理学院,上海200051

出　　处：《金融经济学研究》2017年第1期26-35,共10页Financial Economics Research

基　　金：国家社会科学基金项目(13BGL041);教育部人文社会科学规划项目(11YJC790051)

摘　　要：选取沪深A股市场的样本数据,对沪港通制度下股价分层效应的存在性及有效性进行了实证分析,并以此为依据,设计了治理股价分层效应的相关制度及政策。研究发现,在沪港通制度下,证券市场上市公司股价将遵循S形曲线的演进规律,沪港通增量资金的股票配置偏好与赚钱效应的交互作用促使中国证券市场形成股价分层效应。此外,在沪港通制度实施的任意时期,中国证券市场存在显著的股价分层效应。现行证券市场制度的非完备性导致股价分层效应短期内的强有效性,但是随着沪港通实施时间的不断推移,中国证券市场股价分层效应的有效性将会被逐步稀释。By selecting sample data from Shanghai and Shenzhen A Shares, this paper first conducts empirical research on the existence and effect of stock price layering effect in Chinese securities market under Shanghai -Hong Kong （SH-HK） Stock Connect system. Based on em- pirical results, the present study further investigates relative regulations and policies correspond- ingly. The study finds that under SH-HK stock Connect system,stock price follow the pattern of S-Type curve, and the interaction between buying stock preference of new supplying capital and money effect will stimulate the stock price layering effect. Moreover, the layering effect is found in securities market at any period after the implementation of SH -HK Stock Connect. The effect is significant in short term because the securities market is not perfect yet and with time passes by, the effect will be lessened in mid and long term.

关 键 词：沪港通制度 证券市场 股价分层效应 股价演进模型 S形曲线 

分 类 号：F832.5[经济管理—金融学]