沪港通交易制度能提升中国股票市场稳定性吗?——基于复杂网络的视角  

Does Shanghai-Hong Kong Stock connect trading mechanism improve the stability of Chinese Stock Market? A complex network perspective

作　　者：刘海飞[1] 柏巍[1] 李冬昕[1] 许金涛[1] 

机构地区：[1]南京大学工程管理学院,南京210093

出　　处：《管理科学学报》2018年第1期97-110,共14页Journal of Management Sciences in China

基　　金：国家自然基金资助项目(71771116;71671087;71203144;71501131);江苏省自然科学基金资助项目(BK20161398);江苏省金融工程重点实验室项目(NSK2015-09);中央高校基本科研业务费专项资金资助项目(011814380027)

摘　　要：沪港通交易制度的顺利开通,拓宽了两地投资者的投资渠道,推动了我国境内资本市场与国际资本市场接轨,对中国A股市场稳定性有重要影响.本文以复杂网络理论为基础,基于最小生成树算法构建了沪股通市场、港股通市场和沪港通市场关联网络,仿真模拟研究不同市场网络在沪港通试点和正式开通前后四个阶段的抗攻击情况,进而探究我国股票市场的稳定性.研究表明:随着政策的不断发展,沪股通和港股通市场网络在保持局部聚集性的同时不断融合;沪股通市场网络具有较强的聚集性,而港股通市场网络相对分散;面对随意攻击不同市场均可保持较好的鲁棒性,而面对恶意攻击则呈现一定的脆弱性;沪港通政策正式开通后,两市网络的不断融合提高了股票市场的稳定性.研究结论为我国股票市场稳定性研究提供了新的思路,同时也为监管者制定监管政策和上市公司维护股价稳定,提供了新的启示.The successful operation of Shanghai-Hong Kong Stock Connect Trading Mechanism has broadened the investment channels of investors, promoted the convergence of domestic capital market and international capital market, and had great influence upon China＇ s A-share stock market stability. Based on the complex network theory, the MST-Kruskal algorithm is used to construct different networks composed of the Shanghai Stock Connect market, the Hong Kong Stock Connect market or the Shanghai-Hong Kong stock market, and the anti-attack performances of different networks, in four stages before and after the pilot project and the offi- cial operation of Shanghai-Hong Kong Stock Connect, are simulated. Then the stability of China stock market is studied. Our results show that, with the implementation of Shanghai-Hong Kong Stock Connect program, the market networks of their local cluster. Shanghai Stock Connect and Hong Kong Stock Connect merge constantly while maintaining Shanghai Stock Connect market network has a strong aggregation, while Hong Kong Stock Connect market network is relatively decentralized. Besides, the two markets maintain good robustness when facing random attacks, and show a certain vulnerability unde~ a hostile attack. After Shanghai-I-long Kong Stock Connect launched officially, the combination of the two markets improves the stability of stock markets. In all, our conclusions provide a new logic for the stability research of Chinese stock market, and new enlight- enment for regulators to develop regulatory policies and listed companies to maintain the stability of their stock prices.

关 键 词：沪港通交易制度 复杂网络 股票市场 稳定性 

分 类 号：F830.0[经济管理—金融学]