“深港通”对深港股市信息流动关系的影响  

The Influence of the Information Flow Between Shenzhen and Hong Kong Stock Market:Base on the Shenzhen-Hong Kong Stock Connect Program

作　　者：董梅生 王涛[1] DONG Mei-sheng;WANG Tao(Business school,Anhui University of Technology 243032;Anhui Institute of Innovation-driven Development,Anhui University of Technology 243032)

机构地区：[1]安徽工业大学商学院,243032 [2]安徽工业大学安徽创新驱动发展研究院,243032

出　　处：《上海经济研究》2018年第6期48-57,共10页Shanghai Journal of Economics

基　　金：国家社科基金项目“国资管理三层架构下的混合所有制企业股权结构选择研究”(16BJL046)

摘　　要：本文基于Granger因果检验方法和MGARCH-BEKK模型,从报酬溢出效应和波动溢出效应两个方面检验了深港股市间的信息流动关系。结果表明：“深港通”开通之前两地股市间不存在报酬溢出效应,但存在地位平等的市场波动溢出效应;“深港通”启动之后,深证成指市场对恒生指数市场具有单方向报酬溢出效应和波动溢出效应。在市场价格信息关系中,深圳股市居于价格中心地位,这为建立起两地市场间有效的金融风险防范机制提供了监管重点方向。Based on Granger causality test method and MGARCH-BEKK model, this paper examines the information flow relationship between Shenzhen stock market from two aspects, return spillover effect and volatility spillover effect. The results show that there is no return spillover effect between the two stock markets before the opening of ＂Shenzben-HK Stock Connect Program＂, but there is a market volatility spillover effect with equal status. After the launch of ＂Shenzhen-HK Stock Connect Program＂, there is unidirectional return spillover effect and volatility spillover effect from Shenzhen Component Index market to the Hang Seng Index market. In the relationship of market price, the central information position of Shenzhen stock market provides the key direction of supervision for the establishment of effective financial risk prevention mechanism in both markets.

关 键 词：深港通 信息流动 溢出效应 MGARCH-BEKK模型 

分 类 号：F830.91[经济管理—金融学]