中国A、B、H股间市场一体化进程研究——基于SKEWED-T-GJR-COPULA方法的实证检验

本文通过构建动态Copula方法，以相依性作为股市间一体化整合指标，考察了1994年至2009年A、B、H股间的一体化进程，发现A股间的一体化基本达到完全整合，两B股间也达到了很高的水平，这两组市场的整合主要在1995年到1997年完成的。A股与B股间一体化程度也较高，其中亚洲金融危机和2001年2月B股改革推动了两市场的整合。而A、B股与H股间的一体化程度相对较低，它们间的整合开始较晚但仍在进行，其中股权分置改革和QDII的实施具有较大的推动作用。另外，中国金融市场如汇率、银行等的改革可能也提高了A、B股与H股的整合速度。

The Integration of Chinese A,B and H Stock MarketsBased on Skewed-t-GJR-Copula Model

This paper employs dynamic Copula to explore the market integration among A, B and H shares, and finds perfect integration in A markets, high integration in B markets, which occured mainly from the end of 1995 to 1997. The next high is integration of A and B markets, which was improved by Asia financial crisis in 1997 and B shares openness to domestic investors in 2001. The integrations between A, B and H shares are comparatively low and began very late but are continuing. The roles played by nontradable shares reform and QDII in the integration are very crucial, while other financial reforms such as in exchange rate and bank system are also very important.