“深港通”对股票市场波动性风险影响的实证分析  

Empirical Study on the Impact of"Shenzhen-Hong Kong Stock Connect"to Volatility Risk in Stock Market

作　　者：孙礼旭 SUN Li-xu(School of economics management,Lanzhou Institute of Technology,Lanzhou 730050,China)

机构地区：[1]兰州工业学院经济管理学院,甘肃兰州730050

出　　处：《兰州工业学院学报》2020年第5期97-102,共6页Journal of Lanzhou Institute of Technology

基　　金：兰州工业学院青年科技创新项目(2018K-028)。

摘　　要：基于"深港通"开启对股票市场产生影响的机理分析,选取2014年12月4日至2018年12月5日上市公司股票数据进行实证研究。建立双重差分回归模型,标的股票与非标的股票、活跃程度和信息质量不同对比检验。结果表明,"深港通"开启能够有效降低股票市场风险,并且降低风险的内涵是信息质量的提高。股票市场对外开放致使价值投资逐渐被人们认可,为股票市场改革创新、政策监管提供判断依据。Based on the analysis of"Shenzhen-Hong Kong Stock Connect"Scheme impacting on the stock market,the stock data of listed companies from December 4,2014 to December 5,2018 were selected for empirical study in this paper.A double differential regression model was established to test the difference between target stocks and non-target stocks,activity degree and information quality.It is concluded that"Shenzhen-Hong Kong Stock Connect"Scheme can effectively reduce stock market risk,and the connotation of reducing risk is the improvement of information quality.The opening of the stock market has led to the gradual recognition of value investment,providing a basis for judging the stock market reform and innovation and policy supervision.

关 键 词：“深港通” 股票市场 波动性风险 

分 类 号：F832[经济管理—金融学]