| 沪、深股票市场与香港股票市场的溢出效应——基于发布“港股直通车”方案前后的比较分析 |
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| 引用本文： | 张信东,赵芳.沪、深股票市场与香港股票市场的溢出效应——基于发布“港股直通车”方案前后的比较分析[J].南开管理评论,2009,12(4). |
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| 作者姓名： | 张信东 赵芳 |
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| 作者单位： | 1. 山西大学管理学院
2. 山西大学管理科学与工程 |
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| 基金项目： | 教育部人文社会科学研究项目，山西省高等学校人文社科重点研究基地项目 |
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| 摘 要： | 本文以沪、深、港三地股票市场的数据为样本,用VAR模型和二元GARCH模型重点研究"港股直通车"事件是否对港市与沪、深股市的收益率及波动溢出关系有显著影响.研究结果表明,"港股直通车"公布之前,港市与沪、深股市间不存在任何方向的收益率溢出效应,但存在单向波动溢出效应;"港股直通车"公布之后.港市与沪、深股市间不仅存在单向收益率溢出效应,港市与沪市间还存在双向波动溢出效应,与深市间则存在单向波动溢出效应.
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| 关 键 词： | 股票市场 溢出效应 VAR模型 多元GARcH模型 |
Spillover Effects between Shanghai, Shenzhen and Hong Kong:A Comparative Analysis Based on " The Through Train of Hong Kong Stocks" |
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| Zhang Xindong,Zhao Fang.Spillover Effects between Shanghai, Shenzhen and Hong Kong:A Comparative Analysis Based on " The Through Train of Hong Kong Stocks"[J].Nankai Business Review,2009,12(4). |
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| Authors: | Zhang Xindong Zhao Fang |
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| Abstract: | Focusing on whether "the through train of Hong Kong stock" has a significant impact on return and volatility spillover relationships between the Hong Kong, Shanghai and Shenzhen stock markets, this paper applies the VAR and Multiple GARCH model to data from the three stock markets. The evidence shows that no return spillover effect existed between the Hong Kong stock market and the other two markets before the announcement of "the through train of Hong Kong stock", while a one-way volatility spillover effec... |
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| Keywords: | Stock Market Spillover Effect VAR Model Multi- variate GARCH Model |
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