沪港通背景下我国内地股市和香港股市联动机制研究

十八大提出要深化金融体制改革、推进金融创新、推动利率及汇率市场化的进程等,香港作为重要的国际金融中心,在2014年沪港通开通之后与内地的经贸合作越来越密切。采用理论分析和实证分析相结合的方法,对香港和内地股市之间的贸易、投资及上市联系机制进行分析,以上证综合指数、香港恒生指数与国企指数为样本,通过计量的方法对各变量进行ADF检验、Johansen协整检验以及Granger因果检验,全面验证沪港通开启后内地股市和香港股市之间联动效应的强化及相互影响程度。旨在为政府制定政策提供参考,为投资者制定投资决策提供建议,推动两地股市的健康和谐发展。

Research on linkage mechanism between mainland stock market and Hongkong stock market in China under background of Shanghai-Hong Kong Stock Connect

The measures of deepening the reform of financial system, advancing the financial innovation, and promoting the market-oriented process of interest rate and exchange rate, etc., are proposed on the Eighteenth Congress of CPC. As an important international financial center, Hong Kong has become more and more closely in the economic and trade cooperation with the mainland China, after the opening of Shanghai-Hong Kong Stock Connect in 2014. By using the method of combining theoretical analysis and empirical analysis, the trade, investment and connecting mechanism of listing between Hong Kong and the mainland stock market are analyzed. Shanghai Composite Index, Hong Kong Hang Seng Index and the state-owned enterprises index are taken as sample. ADF test, Johansen co-integration test and Granger causality test are carried out of different variables by econometric method. The strengthening of linkage effect and the mutual influence degree between mainland stock market and Hong Kong stock market after the opening of Shanghai-Hong Kong Stock Connect are completely validated. The aim is to provide reference for the government to formulate policies, suggestions for investors to make investment decisions, and recommendations to promote the healthy and harmonious development of the two stock markets.