“沪港通”对沪深股市收益率的影响研究——基于VAR-EGARCH模型实证分析  

Impact of Shanghai-Hong Kong Stock Connect on Stock Market Returns of Shanghai and Shenzhen Based on the VAR-EGARCH Model Analysis

作　　者：许勇[1] 

机构地区：[1]安徽财经大学统计与应用数学学院,安徽蚌埠233030

出　　处：《黑龙江工业学院学报（综合版）》2017年第4期109-114,共6页Journal of Heilongjiang University of Technology(Comprehensive Edition)

摘　　要：以2010年1月至2016年4月沪深港股市日收益率及日成交额为样本,基于VAR-EGARCH模型分析"沪港通"改革前后沪深股市收益率受到的影响。根据VAR及方差分解结果表明,"沪港通"后对香港市场、上海市场收益率影响相比"沪港通"前有较大提高,但这种影响仍然非常较小;相反,"沪港通"前后深圳股市收益率受到香港的影响比较大。根据EGARCH分析结果,沪深股市波动越大收益率越小,同时受等强度的新息冲击会引起两者的非对称反应。From January 2010 to April 2016 in Shanghai and Shenzhen stock market return and turnover as samples to analyse the influence of the ＂return of Shanghai and Shenzhen stock market by rate before and after Shanghai and Hong Kong through reform based on VAR -EGARCH model. According to VAR and variance decomposition results, after Shanghai and Hong Kong through the Hongkong market, Shanghai market yield effect ＂ has greatly improved compared to Shanghai and Hong Kong before, but this effect is still very small; on the contrary, the Shenzhen stock market returns in Hongkong affected by the larger rate before and after Shanghai and Hongkong. According to the results of EGARCH analysis, the greater the volatility of the Shanghai and Shenzhen stock market, the smaller the yield, while the impact of equal intensity will cause the asymmetric reaction.

关 键 词：“沪港通” “深港通” 收益率 VAR—EGARCH 

分 类 号：F832.5[经济管理—金融学]