内地与香港股票市场的一体化进程研究被引量：8

Research on the Integration Process between the Stock Markets of China's Mainland and Hong Kong

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摘要本文采用时变参数向量自回归模型(TVP-VAR)研究了上证A股、上证B股和香港恒生指数之间的动态关系,分析我国资本市场对外开放政策的效果。实证结果表明:香港股市的有效程度高于内地,A股市场的有效性高于B股。向境内投资者开放B股有助于提高A股和B股市场一体化程度。QFII和QDII制度在保持国内市场平稳的同时建立了内地与香港股票市场的信息传递机制,提高了市场的一体化水平和有效程度。沪港通机制实现了沪市A股和港股的平稳的互联互通。 This paper uses time varying parameter vector auto regression （TVP-VAR） model to study the dynamic rela- tionship among returns of Shanghai A- and B-share index and Hong Kong Hang Seng index and the impact of opening up poli- cy on capital market. Result shows the efficiency of Hang Kong stock market is highest, A share market follows and B share market is lowest. B shares＇ opening to domestic investor strengthens the linkage between A and B share market. The launch of QFII and QDII constructs the information transmitting mechanism between mainland and Hong Kong stock market while maintai- ning the stabilization of them and enhances market efficiency. Shanghai and Hong Kong stock connect plays a role as construc- ting a mutual connect between Hong Kong and Shanghai stock market.

作者赵胜民闫红蕾

机构地区南开大学金融学院

出处《中国经济问题》 CSSCI 北大核心 2016年第1期124-135,共12页 China Economic Studies

基金教育部人文社会科学研究规划基金"我国宏观审慎政策协调问题研究"(15YJA790090)的资助

关键词市场一体化 TVP-VAR 沪港通 market integration TVP-VAR Shanghai and Hong Kong stock connect

分类号 F832.51 [经济管理—金融学]

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