“港股直通车”对两地股市影响的实证分析

本文以股权分置改革后的最新数据为研究对象,首先剖析了香港股市与内地股市的高度关联性,然后运用计量经济方法检验两地股市的相关性、以及“港股直通车”前后两地股市关系发生的变化,从而得出结论：在当前背景下,不宜推出“港股直通车”。这也证明了中央暂停港股直通车的合理性与及时性。

Demonstrative analysis of "Hongkong stock direct drive " 's influenc on stock Market

We use Co-integration test,Granger Cause Test,and Error Correction Model to test the correlation between Hang Seng and mainland stock market,the daily data at the market close of Hang Seng China-Affiliated Corporations Index（HSCCI） and Shanghai Stock Index（SSI） were used to be the objects of research.The conclusion is：Before the announcement of allowing mainland citizens to buy Hong Kong stocks,there is a co -integration relationship between two indexes and the HSCCI is the Granger cause of SSI.However,after the announcement of direct investment,there is no cointegration relationship between two indexes.It express the reflecting of what permitting mainland citizens to buy Hong Kong stocks on Hong Kong stock and Mainland stock market is uncertain .and also improve that stopping mainland citizens to buy Hong Kong stocks is right and in time.