中国A、B股市场一体化程度的实证研究

本文采用条件域变模型为中国A、B股市场一体化程度提供了一种测量方法.这一方法考虑了市场可能在分割与一体化两种状态间相互转化的情况,是对股市状态的一般性描述.实证结果表明:不同于市场完全一体化、完全分割、部分分割的简单假定,中国A、B股市场一体化程度随着时间的变化而变化;沪市和深市A、B股市场一体化的演进轨迹存在差异,深市一体化程度高于沪市.促进A、B股市场一体化,除了继续改善投资环境外,还应考虑市场结构的协调,在政策的制定和实施中对沪市和深市区别对待,如在对A、B股市场进行合并时优先推进深市的一体化.

An Empirical Study of Integration Degree of the A-and B-share Stock Markets in China

This paper proposes a method for measuring the integration degree of the A-and B-share Stock Markets in China based on a conditional regime-switching model.This method has taken into account the possi-ble market switch from the state ofbeing segmental to the state of being integrated,it is a general state descrip-tion of markets.As a result,we find that the degree of integration of the A-and B-share Stock Markets changes through time in China,which is different from the assumption that markets are either simply segmented,or inte-grated,or partially segmented.There are different integrations in Shanghai and Shenzhen stock markets.The inte-gration degree of Shanghai stock market is higher than that of Shenzhen market.In order to promote the progress of the A-and B-share markets integration,we should on the one hand continue to improve investment environ-ments,on the other hand,pay more attention to the coordination of markets structure and treat the establishment and implementation of policies in Shanghai and Shenzhen stock markets in different nmner.For example.priority should be given to the integration of Shenzhen market in the amalgamation of A and B share stock markets.