| 摘要: |
| 本文首先就证券市场联动效应进行了理论分析，然后基于2012-2018年沪港两股市的时间序列数据，对“沪港通”出台前后两市金融板块指数进行了实证检验。研究发现：“沪港通”实施后两市金融板块指数建立了长期均衡关系，在短期波动中沪市更易向港市调整；沪港两市金融板块表现为双向格兰杰因果关系，且沪市对港市的冲击影响较大；此外，“沪港通”还加深了港市对沪市金融板块方差波动的贡献度。最后，基于实证分析结果提出了相关政策建议。 |
| 关键词: 沪港通；沪港股；金融板块；联动效应 |
| DOI： |
| 分类号:F830.2 |
| 基金项目:本文受教育部人文社会科学研究青年基金项目“并购业绩补偿承诺、盈余管理行为及其经济后果研究”（17YJC630063）、西南大学重大决策咨询项目“重庆市金融产业智能化发展路径与政策研究”（19SWUJCZXA5)的资助。 |
|
| Research on the Linkage Effect of the Financial Sectors under the Background of Shanghai-Hong Kong Stock Connect |
|
WANG Ding-xiang，ZHOU Yue
|
|
School of Economics and Management,Southwest University
|
| Abstract: |
| This article first conducts a theoretical analysis of the linkage effect of the securities market,and then based on the time series data of the Shanghai and Hong Kong stock markets from 2012 to 2018,empirically analyzes the changes in the linkage effect of the financial sectors of the two cities before and after the launch of the Shanghai Hong Kong Stock Connect.The study found that after the implementation of the “Shanghai Hong Kong Stock Connect”,the financial sector indexes of the two cities have established a long term equilibrium relationship，in short term fluctuations,the Shanghai stock market is easier to adjust to the Hong Kong market;the financial sectors of the two cities have established a two way Granger causality,and the impact of the Shanghai market on the Hong Kong market is greater；the “Shanghai Hong Kong Stock Connect” has deepened the contribution of the Hong Kong market to fluctuations in the Shanghai market.Finally,based on the results of empirical analysis,the paper puts forward relevant policy recommendations. |
| Key words: Shanghai-Hong Kong Stock Connect;Shanghai-Hong Kong Stock Market;Financial Sector;Linkage Effect |
