香港股票市场与国际主要股票市场的联动效应研究  

Study on the Co-movement of Stock Market in Asia-Pacific Countries and Regions-An Empirical Analysis Based on DCC-MVGARCH

作　　者：张文闻 陈广汉[2] 

机构地区：[1]招商局资本研究发展部 [2]中山大学港澳珠三角研究中心,港澳与内地合作发展协同创新中心

出　　处：《深圳社会科学》2018年第2期32-38,157,共7页Social Sciences in Shenzhen

基　　金：教育部人文社科重点研究基地重大项目"珠三角港资企业转型升级研究"(项目号:13JJD790039)的阶段性成果

摘　　要：香港回归21年来,在"一国两制"制度下保持了自由、高效、透明、公正的金融市场和法律制度。21年来,香港国际金融中心的地位是否得到强化?香港与国际主要股票市场联动的变化如何?本文通过DCC-GARCH模型的实证结果发现,香港与国际主要股市的联动性可分为四类:一是逐步相关型,包括香港与上海,香港与深圳;二是较高相关型,包括香港与英国、香港与日本、香港与韩国;三是较低相关型,包括香港与美国;四是低相关型,包括香港与新加坡。本文建议香港应该持续开放,强化资本市场的深度和广度,把握粤港澳大湾区和"一带一路"倡议,发挥比较优势,巩固香港国际金融中心地位。Since the return of Hong Kong, the economic ties between Hong Kong and the Mainland have been continuously strengthened. The official opening of " Shanghai-Hong Kong Stcok Connect " and " ShenzhenHong Kong Stcok Connect " marks the important role that Hong Kong has played as a super contact. So, is the status of "one country, two systems" under the Hong Kong International Financial Center strengthened? Is the linkage enhancing between Hong Kong and the stock market in various countries? It is of great significance to study the co-movement between Hong Kong and the Asia-Pacific countries. Through the empirical results of DCC-GARCH model, it is found that the linkage between Hong Kong and Asia-Pacific countries can be divided into four categories: one is continuous correlation, the second is the higher correlation type, the third is lower correlation type and the fourth is low correlation type. Among them, the continuing type includes Hong Kong and Shanghai, Hong Kong and Shenzhen. Higher correlations include Hong Kong and the UK, Hong Kong and Japan, Hong Kong and Korea. Lower correlation includes Hong Kong and the United States. Low correlation types include Hong Kong and Singapore. Therefore, Hong Kong should continue to open up and strengthen the depth and breadth of the capital market, grasp the rise of China and the "Belt and Road" initiative, give full play to the advantages of consolidating Hong Kong's international financial center.

关 键 词：香港股票市场 波动率联动 DCC-GARCH 

分 类 号：F830.91[经济管理—金融学]