| 摘要: |
| 由于AH股溢价率存在波动性聚集特征，本文使用DCC-GARCH模型实证检验宏观经济因素冲击与AH股溢价率的动态相关性。研究发现：（1）资本市场的整体波动与AH股溢价率波动具有动态相关性，境内资本市场的宏观经济冲击影响并不能使双重上市公司境外股票价格同步波动，从而产生AH股溢价率的波动；（2）国债指数与AH股溢价率呈现出动态正相关关系，人民币汇率的贬值预期与AH股溢价率的动态相关性变化较为复杂，呈现出由正转负的趋势性变化，其背后的原因是中国境内资本市场开放后与国际资本市场的联动性增强。最后，结合本文的研究结论，从促进公司估值的价值回归、提升投融资效率的角度提出建议。 |
| 关键词: 聚集性波动；利率；汇率预期；动态相关性 |
| DOI： |
| 分类号:F830.91 |
| 基金项目: |
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| Research on Dynamic Correlation between Macroeconomic Fluctuation and AH Share Premium——Based on DCC-GARCH Model |
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FANG Jian
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School of Economics，Liaoning University
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| Abstract: |
| Based on the volatility cluster characteristics of the AH stock premium rate，this paper uses the DCC-GARCH model to empirically test the dynamic correlation between the impact of macroeconomic factors and the AH stock premium rate.The research found that：(1)The overall volatility of the capital market is dynamically correlated with the fluctuation of the AH share premium rate.The impact of macroeconomic shocks in the domestic capital market cannot cause the dual-listed company’s overseas stock prices to fluctuate simultaneously，thereby generating fluctuations in the premium rate of AH shares.(2)The treasury bond index and the AH share premium rate show a dynamic positive correlation，and the dynamic correlation between the expected depreciation of the RMB exchange rate and the AH share premium is more complicated，showing a trend change from positive to negative，the reason behind this is that after the opening of China’s domestic capital market，the linkage with the international capital market has increased.Finally，combined with the research conclusions of this article，suggestions are made from the perspective of promoting the return of company valuation and improving the efficiency of investment and financing. |
| Key words: Cluster Volatility；Interest Rate；Exchange Rate Expectations；Dynamic Correlation |
