A股与美股、港股联动性的两次比较北大核心

本文采用协整模型和结构向量自回归模型(SVAR),对2006年6月—2008年6月金融危机时期与2014年6月—2015年9月A股动荡行情时期A股与美股、港股的联动性进行计量分析。研究结果表明,自金融危机后期以来,A股市场对美股与港股市场的激励响应效应均在增强。在此轮A股动荡时期,下行时期(2015年6月—2015年9月)A股市场对美股与港股市场的联动影响力较上行时期(2014年6月—2015年6月)强。通过两个特定意义时期的比较分析,得出国内A股市场的相关政策和监管启示。     

透过港股看A股

港股是指在香港联合交易所(以下简称港交所)上市的股票.港股与A股有着非常密切的联动性,了解港股,有助于投资者从事A股投资.同时,香港股市是一个相对成熟的市场,了解港股,有助于提前得知A股未来发展的可能性.     

创业板与主板、中小板市场的联动性实证分析

创业板在推出后一直是众多学者研究的热点。创业板与主板、中小板三者之间在不同时期的联动性表现是否一致,也成为了众多投资者十分关心的一个问题。本文基于相关理论,对其联动性进行分阶段性实证检验,发现了一个较为新颖的结论,即在创业板成立初期,主板市场、中小板市场和创业板市场之间存在收益率的联动效应,主要表现在主板市场会对中小板市场和创业板市场存在相应的冲击效应;而在近两年,几个板块市场开始出现分离,通过统计数据表明各个板块之间不再存在联动效应。     

我国A股与美股、港股之间的跨市场联动机制研究

本文基于行为金融理论提出了关于美国、香港、中国股市联动性的两个假说,并通过分阶段的长期数据相关性清晰刻画出我国A股与美股、港股之间的联动机制,进一步得出研究结论和政策建议。     

后危机时代美国、中国香港和中国大陆股市的联动性研究——基于美国金融危机时期的数据验证

国际金融危机的爆发,对全球资本市场产生了重要影响.本文基于美国金融危机的发展和蔓延,选取沪深300指数、香港恒生指数和美国标准普尔指数2008年9月10日到2010年10月7日的数据作为研究样本,利用基于vAR模型的Johansen协整检验和Granger因果检验方法,对美国、中国香港和中国大陆股市的联动性进行了实证分析.结论是,三地股市具有显著的联动性.这一研究结果有利于投资者制定相应的投资策略,也有利于监管者对系统性风险进行预期监管;同时对我国股市国际化进程的认识和推动我国资本市场发展具有现实意义.     

港股市场与A股市场的比较研究

本文从港股投资与A股投资差异视角,分别比较了两个市场在参与主体、交易品种、投资理念、发行机制、盈利模式、信息披露六个方面的不同,指出投资港股需坚持价值投资,并切实将价值投资理念贯穿于投资过程中,才能真正分享到港股投资的成果.     

我国A股与美股、港股之问的跨市场联动机制研究

本文基于行为金融理论提出了关于美国、香港、中国股市联动性的两个假说,并通过分阶段的长期数据相关性清晰刻画出我国A股与美股、港股之间的联动机制,进一步得出研究结论和政策建议.     

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。     

同时开市背景下AH股的股价联动性分析

文章选取57支A+H股票编制开盘价指数和收盘价指数,以2011年3月7日为分界点分为两个阶段,对A股和H股的股价之间的联动性,采用计量经济学方法进行实证研究。研究表明:同时开市之后A股和H股的股价联动性有所增强,H股股价对A股股价的影响更加明显。     

Dynamic Interactions Among Macroeconomic Variables and Stock Indexes in Taiwan,Hong Kong,and China

This study analyzes dynamic interactions among macroeconomic variables and the stock markets of Taiwan, Hong Kong, and China by incorporating the long-term and short-term comovements, which can shed some light on the long-term and short-term market efficiency/inefficiency in the region. The number of common cycles is investigated in these markets and each stock index series is decomposed into its trend and cyclical components. The authors observe that foreign stock markets have greater influence on the domestic market than domestic macroeconomic variables do. This implies that policymakers need to consider not only macroeconomic variables but also the effects of markets on one another when markets are integrated.     

推出卖空机制对证券市场波动率的影响

一直以来,理论界和实务界对于证券市场上是否允许卖空存在很大争议,争议的焦点之一就在于引入卖空机制是否会加大市场的波动性甚至引发市场危机.本文运用非对称GARCH模型探讨了香港市场推出卖空机制前后市场波动率的变动情况,发现推出卖空机制不仅不会加大证券市场的波动,反而使权证券市场的波动率有所降低.     

Dynamic Modeling of Tail Risk: Applications to China, Hong Kong and Other Asian Markets

In this paper, we study the extreme dependence between the markets in Hong Kong, Shanghai, Shenzhen, Taiwan and Singapore. The tail dependence coefficient (TDC), which measures how likely financial returns move together in extreme market conditions, is modeled dynamically using the Multivariate Generalized Autoregressive Conditional Heteroscedasticity model with the time-varying correlation matrix of Tse and Tsui (Journal of Business & Economic Statistics, 20(3):351–363, 2002). The time paths of the TDC indicate that Hong Kong stocks had the highest extreme dependence during the Asian financial crisis and their TDCs have followed an increasing trend since 2006. The results in this paper also show that the TDC pattern of Singapore with the other markets is very similar to the TDC pattern of Hong Kong with the other markets. An increasing trend in the extreme dependence between Shanghai A Share Index and Shanghai B Share Index and between the Hang Seng Index and the Hong Kong China Enterprise Index is observed from 2002 to 2007. A substantial rise in the TDC between Shenzhen A Share Index and Shenzhen B Share Index was recorded after the China market reforms in 2005. Our TDC modeling with Asian market data provides evidence that Asian markets are becoming integrated and their extreme co-movements during financial turmoil are becoming stronger.     

我国股票市场与国际市场的联动性研究——对次贷危机时期样本的分析

本文通过构建回归模型,考察了次贷危机前后我国股票市场与世界股票市场联动性的动态变化过程,并且与巴西股票市场进行了比较分析,从而对我国市场与国际市场的互动进行了客观的评价。实证结果表明,总体上我国股票市场与国际市场的联动性不强,并且时而为"即期联动",时而为"滞后联动",联动方式不确定。然而,次贷危机发生后.我国与国际市场的联动性有逐渐增强的趋势,尤其是与英国、香港地区等市场的联动在不断提高。这主要是由于次贷危机使国内外投资者的预期形成机制和投资理念发生了变化。     

Internal Market Efficiency,Market Co-movement,and Cross-Market Efficiency: The Case of Hong Kong and Shanghai Stock Markets

We examine the effects of the 2008 financial crisis on the cross-market efficiency of the Hong Kong and Shanghai stock markets. Our results show a sharp decline in the cross-market efficiency during the financial crisis. We investigate whether this is due to lower internal market efficiency or higher market co-movement. The results show no evidence that the internal market efficiency dropped in Hong Kong or Shanghai during the crisis. In contrast, we document a strong increase in the market co-movement during the crisis. These results suggest that the decline in cross-market efficiency during the financial crisis is due to increased market co-movement and not a decline in internal market efficiency.     

Price Linkages Between the US,Japan and UK Stock Markets

This study presents an empirical analysis of the short- and long-term relationships among stock prices in the US, Japan and the UK. We re-examine the evidence of market linkages and cointegration between S&P 500, Nikkei 225 and FTSE-100 stock indices. The results suggest that mature markets are cointegrated, indicating a stationary long-run relationship. Furthermore, Granger causality tests show a bi-directional causality between Nikkei 225–FTSE-100, and unidirectional causalities between S&P 500–FTSE-100 and S&P 500–Nikkei 225. These findings suggest that the potential for diversifying risk by investing in mature markets is limited.     

Insider Trading in the Hong Kong Stock Market

Many previous studies on insider trading are based ondata in the U.S. capital market and conclude thatinsiders can earn abnormal profits. This paperexamines abnormal price performance associated withinsider trading in the Hong Kong stock market. We findthat abnormal profits associated with insider tradingare all concentrated on small firms. Trading volumedoes matter in determining the magnitude of thoseabnormal profits. Our results show that insiders ofmedium-sized and large firms do not earn abnormalprofits. Finally, it is found that outsiders who mimicthe information of insider trades associated withmedium-sized and large firms cannot earn abnormalprofits.     

内地与香港套利贸易问题研究

本文针对内地与香港贸易异常增长的现象,深入剖析内地与香港套利贸易的状况、成因及影响,认为当前内地与香港套利贸易是外贸企业经营压力加大、内地与香港之间利率和汇率差异较大、有关监管体系不完善等原因综合作用的结果,对内地经济金融体系的稳定以及宏观调控的有效性带来不利影响.为了遏制内地与香港之间套利虚假贸易,要拓展外贸企业的盈利空间、逐步降低内地与香港的利率和汇率差异、建立和完善针对套利贸易的监管体系、加强对商业银行贸易金融业务的监管.     

China,Japan and the US Stock Markets and the Global Financial Crisis

In this paper, while focusing on the impact that the global financial crisis had on the stock markets of China, Japan, and the United States, the stock-price volatilities and linkage between these three countries are analyzed. In addition, the relationships between macroeconomic variables (real-economy variables and monetary-policy variables) and stock price volatility in each country are investigated. The estimation results of the EGARCH model revealed that although China’s stock price volatility was far greater than those of Japanese and US stock prices, China was less affected by the global financial crisis in 2007 than Japan and the United States. For China, stock price volatility was greater in the early 1990s, shortly after the stock market had been established, than in 2007 when the global financial crisis occurred. Furthermore, it has been revealed that the linkage of Chinese, Japanese, and US stock prices has increased since the global financial crisis. Moreover, Granger causality testing revealed China’s real-economy variables and monetary-policy variables do not affect China’s stock price volatility.