互联互通背景下的股市波动对人民币汇率市场的风险溢出研究  

The Risk Spillover of Stock Market Fluctuation to RMB Exchange Rate Market under the Background of Interconnection

作　　者：黄佳耿 张年华 HUANG Jiageng;ZHANG Nianhua

机构地区：[1]中山大学国际金融学院 [2]上海财经大学金融学院

出　　处：《中央财经大学学报》2025年第3期114-129,I0008,I0009,共18页Journal of Central University of Finance & Economics

基　　金：国家社会科学基金重点项目“基于新发展理念的经济结构调整与金融系统防风险的动态平衡机制研究”(项目编号:22AZD134);国家公派留学基金CSC项目(2023);上海财经大学研究生创新基金项目(项目编号:CXJJ-2023-315)。

摘　　要：为完善多层次资本市场,中国陆续推出沪港通、深港通和债券通等一系列制度,这不仅增强了内外股市的互通互联,同时还强化了跨境资本流动进而可能对人民币汇率稳定产生冲击。在此,本文构建包含沪市、深市、港市和汇市的拓展投资组合模型,并通过时变溢出指数来识别互联互通下的内外股市波动对人民币汇率的风险溢出影响。研究表明,互联互通机制会增强股市风险溢出,其中人民币汇率市场是风险溢出的净接收方。从改革的影响看,2014年沪港通和2016年深港通推出均在短期内增强内地股市对人民币汇率的风险溢出,而2018年港股IPO改革吸引内地企业赴港上市,这也增强了港股对人民币汇率的风险溢出影响。从作用机理看,互联互通下北向资金和南向资金的规模变化会直接增强内外股市对汇市的风险溢出,而地缘政治风险和股市恐慌情绪则通过信息渠道强化风险冲击。此外,资本市场流动性紧张以及失业率上升等基本面利空会加剧股市波动,进而对人民币汇率产生风险溢出。基于此,本文提出降低股市风险溢出和维持人民币汇率稳定的若干建议。For the purpose of building a multi-level capital market,China has successively launched a series of systems such as the Shanghai Hong Kong Stock Connect.On the one hand,it has strengthened the interconnectivity of domestic and foreign stock markets,on the other hand,it has also attracted cross-border capital flows,which may affect the stability of the RMB exchange rate.This paper constructs an expanded portfolio model including Shanghai stock market,Shenzhen stock market,Hong Kong stock market and foreign exchange market,and identifies the risk spillover effect of internal and external stock market fluctuations on RMB exchange rate through time-varying spillover index.We found that the interconnection mechanism enhances risk spillovers in the stock market,and the RMB exchange rate market is the net recipient of risk spillovers.In addition,both the Shanghai-Hong Kong Stock Connect and the Shenzhen-Hong Kong Stock Connect have strengthened the risk spillover of the mainland stock market towards the RMB exchange rate in the short term,while the IPO reform of Hong Kong stocks in 2018 attracted mainland enterprises to list in Hong Kong,which also enhanced the risk spillover impact of Hong Kong stocks to the RMB exchange rate.From the mechanism of action,the scale changes of northbound funds and southbound funds under interconnection will directly enhance the risk spillover of domestic and foreign stock markets to foreign exchange markets,while geopolitical risks and stock market panic will strengthen the risk impact through information channels.In addition,the tight liquidity in the capital market and the rising unemployment rate in the real economy will also exacerbate the risk spillover of the stock market towards the RMB exchange rate.Finally,we propose relevant suggestions to reduce stock market risk spillovers and maintain the stability of the RMB exchange rate.

关 键 词：互联互通 股市波动 人民币汇率 风险溢出 跨境资本流动 

分 类 号：F830[经济管理—金融学] F822