股票市场开放政策效应检验——基于2011—2018沪深港股票市场数据的分析  

Research on the Capital Market Opening-up Policy Effect——An Analysis Based on Statistics in Shanghai,Shenzhen and Hong Kong Equity Markets from 2011 to 2018

作　　者：方先明[1] 陈佳欣 FANG Xianming(Business school,Nanjing University,Nanjing 210093,China)

机构地区：[1]南京大学商学院

出　　处：《河海大学学报（哲学社会科学版）》2019年第4期25-34,106,共11页Journal of Hohai University：Philosophy and Social Sciences

基　　金：国家社会科学基金项目(14BGL031)

摘　　要：沪港通与深港通开通后,沪港间和深港间股票市场的联动性是否得到了增强?通过构建ARMA-GARCH-Copula模型,基于2011年12月16日至2018年12月28日的沪港与深港股票市场数据,从市场相关结构和相关程度的角度进行检验,结果发现:沪港通开通后短期内,两个市场间指数收益率相关性并没有显著提升;深港通开通后,不仅深港股市相关性提高,且开通推动了沪港股市相关性提升;沪港和深港股市上行时收益率传导效应较大,但股市间下尾风险相关性持续在增加,风险传导的可能性增强。最后,从机制运行效率、试点先行经验和金融风险管控的角度提出增强我国股票市场开放度的建议。Relatively low opening level of the capital market has impeded deep integration of China’s economy into international economy to some extent.Therefore,China successively established“Shanghai-Hong Kong Stock Connect”and“Shenzhen-Hong Kong Stock Connect”in order to raise the openness of the equity market.Have the linkages of Shanghai-Hong Kong and Shenzhen-Hong Kong stock markets been enhanced since the launch of the two schemes?This paper builds ARMA-GARCH-Copula model to analyze market dependence degree and structure,based on stock price statistics among Shanghai,Shenzhen and Hong Kong stock markets from December 16,2011 to December 28,2018.It is found that the dependence between the returns of the two market indices has not significantly increased in the short run after the launch of“Shanghai-Hong Kong Stock Connect”;and that the establishment of“Shenzhen-Hong Kong Stock Connect”has enhanced both Shenzhen-Hong Kong and Shanghai-Hong Kong stock market dependence.The price return co-movement effect is more obvious when the markets are on the upturn,and tail risk dependence during market downturn maintains rising,indicating that the possibility of risk transmission ascends.At last,suggestions are proposed for promoting the openness of China’s equity market from the perspectives of operation efficiency of connectivity mechanism,opening experience in pilot programs and financial risk management and supervision.

关 键 词：沪港通 深港通 市场联动性 金融风险管控 股票市场开放度 

分 类 号：F830[经济管理—金融学]