沪港通背景下内地与香港股票市场的相关性及风险溢出研究  

Research on the Correlation and Risk Spillover of Mainland and Hong Kong Stock Market Under Shanghai-Hong Kong Stock Connect Program

作　　者：刘文琼 王莹 LIU Wen-qiong;WANG Ying(School of Economics and Management,Huzhou University,Huzhou 313000,China;School of Finance,Nanjing University of Finance and Economics,Nanjing 210046,China)

机构地区：[1]湖州师范学院经济管理学院,浙江湖州313000 [2]南京财经大学金融学院,江苏南京210046

出　　处：《数学的实践与认识》2022年第12期50-62,共13页Mathematics in Practice and Theory

基　　金：国家自然科学基金(12101232)。

摘　　要：以2014年11月17日沪港通开启日为分界点,基于GARCH-Copula及CoVaR模型,对中国内地股市与香港股市的相关性及风险溢出强度进行研究.实证分析得出结论:沪港通加强了两市的相关性,增强了两市的下尾相关性,减弱了两市的上尾相关性,说明沪港通机制的引入使得两市更容易出现"同跌不同涨"的特点,但没有改变下尾相关性强于上尾相关性的特性.实证进一步指出,沪港通减弱了香港市场对中国内地市场的风险溢出强度,在一定程度上增强了中国内地市场的风险防范能力.The Shanghai-Hong Kong stock connect program has been officially launched on the day Nov.17 in 2014.This paper makes the day as the cut-off point and analyses the correlation and the risk spillover effect of Mainland and Hong Kong stock markets.The results show that the Shanghai-Hong Kong stock connect program has improved the correlation between Mainland and Hong Kong stock markets,and increased the lower tail dependence of the two markets.Meanwhile,the connect program has decreased the upper tail dependence.The above results indicates that the two markets are more likely to have"the same fall but rise".However,the relationship that lower tail dependence is larger than the upper tail dependence is not changed after the connect program.Moreover,the Shanghai-Hong Kong stock connect program has decreased the risk spillover of Hong Kong market to Mainland and indicates that connect program increases the ability of the Mainland stock market to resist risks.

关 键 词：沪港通 尾部相关性 风险溢出 

分 类 号：F832.51[经济管理—金融学]