A+H交叉上市股票间信息传递的不对称性研究

研究交叉上市的香港H股与内地A股市场H股板块间信息传递的不对称性问题。以收益率和波动性作为信息流动的代理变量,采集2003年1月至2009年4月H股指数和H股板块指数的日收盘数据,通过Granger因果检验和动态条件相关二元GARCH模型进行实证检测。结果发现:收益信息由H股市场向H股板块市场单向传递,波动信息主要由H股板块市场向H股市场传递,信息传递呈现不对称性,并分别符合"国际中心"和"国内偏好"假说;H股市场与H股板块市场间的条件相关性是动态变化的,在内地A股市场引进合格的香港机构投资者后相关性逐渐增加。

A Study on the Asymmetric Effect of Information Transmission between the A and H Shares Cross-listing Stocks

This paper studies the asymmetric problem of information transmission about the A and Hshares cross-listing stocks.We take an empirical test by the Granger causality test and dynamic conditional correlation bivariate GARCH model with the daily closing price datum of H-share index and H-shares plate index from the January 2003 to the April 2009,considering the return and volatility as the representative variables of the flow of information.The results show that the return information is transmitted from the H-shares market to H-shares plate marketin one way,while volatility information is mainly from H-shares plate market to H-shares market.From the results,we can see that,the transmission of information is of asymmetry,and they are respectively in line with "international center" and "home bias" hypothesis.Furthermore,the conditional correlation of the two markets changes dynamically with an upward trend after introducing qualified Hongkong institutional investors.