沪深港股市动态联动性研究——基于三元VAR-GJR-GARCH-DCC的新证据

随着经济全球化的迅速发展,国际资本市场呈现出一体化趋势,各地证券价格的联动性也日趋显著。本文梳理已有理论文献,并总结经验成果的不足,在此基础上,构建三元VAR-GJR-GARCH-DCC整合分析框架,对沪深港股市联动效应进行了严谨而全面的实证检验。研究结果表明:沪深港三个市场具有联动效应,直接或间接引导对方;沪深股市对港市的新息冲击做出类似的反应,并且它们与港市的动态关联性具有趋同性,该结论为沪深两市合并提供了新证据;三个市场的相关性具有时变的动态特征,"中国因素"与"世界因素"的相关性正趋于增强。上述实证结论对投资者重新认识市场运行机制,合理制定投资策略以及监管当局有效防范国内外股市风险,推进股市整合均具有重要的启示意义。

Study on the Dynamic Linkage among Stock Prices of Shanghai,Shenzhen and Hong Kong Stock Market:The New Evidence from Tri-VAR-GJR-GARCH-DCC Model

With the rapid development of economic globalization,the international capital market tend to be integrated,and local securities price linkage is also increasingly remarkable.In view of this,this paper summarizes the existing theory literatures and the shortage of empirical results,and build VAR-GJR-GARCH-DCC framework to make an rigorous and comprehensive analysis of linkage effects among the Shanghai and Shenzhen and Hong Kong stock market.The main results are:(1) three markets have the linkage effect,directly or indirectly lead to each other;(2) to the Hong Kong market innovation shock,Shanghai and Shenzhen stock markets make similar responses,which even be the same.This conclusion provides new evidence for the integration of Shanghai and Shenzhen stock market;(3) three market correlation has time-varying dynamic characteristics,and the "China factor" and "world factor" tend to be increasing.These empirical conclusions have important implications to understand the operation mechanism of the market and establish a reasonable investment strategy,and to guard against stock market risk,and promote market integration effectively for regulators.