经济一体化与香港股市的国际联动实证研究

本文从汇率制度、利率水平、国际贸易、投资群体等方面,分析香港股票市场所处的宏观管理运行环境,考察香港和美国的密切经济关系,研究全球一体化不断加深的情形下香港、日本和美国股市的动态关系。研究结果表明,三大市场的动态关系依然存在;但恒指跟上证指并不存在协整关系。

An Economic And Empirical Analysis of Hong Kong Equity Market's Co-movements with The Global Markets

The thesis examines the macroeconomic environment of Hong Kong economy in terms of exchange regime,interest rate,international trade and investor base and underpins the close economic relationship between Hong Kong and the United States.Based on the empirical study of daily trading data of the four markets in the period between January 3 of 2003 and November 9 of 2007,the thesis finds that there exists a long-term dynamic relationship between and among these markets,and that in spite of the closer economic ties between Hong Kong and Mainland China and the fact that more Chinese companies are listed in Hong Kong,there does not exist co-integration between the two markets.