人民币汇率、沪港通交易与股指波动  

The exchange rate of RMB,SH-HK stock connect trading and stock index volatility

作　　者：许从宝[1] 刘晓星[1] 吴凡 XU Congbao;LIU Xiaoxing;WU Fan(School of Economics and Management,Southeast University,Nanjing 211189,China)

机构地区：[1]东南大学经济管理学院,南京211189

出　　处：《系统工程理论与实践》2020年第6期1452-1467,共16页Systems Engineering-Theory & Practice

基　　金：国家社科基金重大专项(18VSJ035);国家自然科学基金(71673043);江苏省研究生科研与实践创新计划(KYCX17-0209)。

摘　　要：伴随着沪港通等资本市场开放政策的深入实施,人民币汇率、外资流动与内地股市间的联动效应将如何演变?本文运用SV-TVP-SVAR模型深入考察研究了人民币汇率、沪股通资金净流入与上证50指数三者之间互动关系的时变特征,研究发现:从同期关系看,人民币汇率贬值显著负向影响着沪股通资金净流入和上证50指数,而沪股通资金净流入对上证50指数有着显著正向影响;从时变脉冲响应走势看,人民币汇率贬值总体上导致了沪股通资金净流出,并拖累了上证50指数表现;沪股通资金流入对人民币汇率贬值有着显著的时变影响,且推高了上证50指数;上证50指数上涨导致了人民币汇率升值和沪股通资金流出,证实了沪股通资金的逆向投资风格.因此本文的实证结果首次刻画了人民币汇率、沪股通交易与内地股市三者之间的联动效应,然后提出了维护人民币汇率基本稳定、完善沪港通交易机制和促进资本市场健康发展相关政策建议.With the further implementation of capital market opening policies,how will the linkage effect between RMB exchange rate,foreign capital flows and mainland stock market evolve?This paper studies the time-varying characteristics of the dynamic relationship among RMB exchange rate,Shanghai-tong and Shanghai-50 index based on SV-TVP-SVAR model.We find that from the perspective of current relationship,RMB exchange rate significantly and negatively influenced the net inflow of Shanghai-tong and Shanghai-50 index,and the net inflow of Shanghai-tong have a significant positive impact on Shanghai-50 index.From the perspective of impulse response,the depreciation of RMB has generally led to net outflow of Shanghai-tong and dragged down Shanghai-50 index.The net inflow of Shanghai-tong has a significant time-varying impact on the depreciation of RMB and promotes the rise of Shanghai-50 index.The rise of Shanghai-50 index led to the appreciation of RMB and the outflow of Shanghai-tong,confirmed the reverse investment style of Shanghai-tong fund.In this paper,we first described the linkage effect among RMB exchange rate,Shanghai-tong trading and mainland market,and put forward some targeted policies to improve SH-HK stock connect trading mechanism,maintain the stable of RMB exchange rate and promote the healthy development of capital market.

关 键 词：人民币汇率 沪股通 沪港通 上证50指数 

分 类 号：F830[经济管理—金融学]