香港股市与内地股市的联动性研究

本文分3个阶段考察了香港回归以来,香港股市和内地股市之间的联动关系及其变化。协整分析表明,香港股市和内地股市之间存在长期的均衡关系,这种均衡关系在内地资本市场实行股权分置改革后更趋于稳定。Granger因果检验表明,香港回归以来香港股市和内地股市之间的引导关系在经历B股开放和股权分置改革后发生了变化。脉冲响应函数分析从动态的角度进一步验证了香港股市和内地股市之间的引导关系及其变化,并深入分析了单个变量的波动或冲击对其自身及另一变量的影响程度。

A Study on the Co-movement between Hong Kong Stock Market and Mainland Stock Market

This paper study the co-movement between Hong Kong stock market and mainland stock market by 3 sub periods since the return of Hong Kong.Co-integration test indicates that Hong Kong stock market and mainland stock market have existed long-term co-integrative relationship, which trends to be more stable after the reform of shareholder structure in mainland capital market.Granger Causality test indicates that the causality between Hong Kong stock market and mainland stock market has changed after the opening of B Shares and the reform of shareholder structure.Impulse Response Function further proves the causality between Hong Kong stock market and mainland stock market in a dynamic view, and has analyzed the extent of a single variable's fluctuation or impact on its own and another variable.