沪港通背景下沪港股市联动性研究

利用Beta-skew-t-EGARCH模型对沪港股市收益率序列进行波动建模,然后采用Copula函数分析“沪港通”实施前后沪港股市联动性变化情况。结果表明:“沪港通”的实施增强了沪港两市之间的联系,加快了两市之间的融合与一体化进程。从尾部相关系数均值来看,“沪港通”实施后,两市同步下跌的概率大于同步上涨的概率。而且,“沪港通”实施后两市场对波动冲击的响应在增强。

Research on the Co-movement Relationships between Shanghai and Hong Kong Stock Markets under the Background of "Shanghai-Hong Kong Stock Connect Program"

As a major financial innovation of China''s capital market reform, the implementation of "Shanghai-Hong Kong Stock Connect Program" has profound influence on the promotion of the integration of Chinese capital market and foreign capital markets. This paper models the volatility of stock returns series in Shanghai and Hong Kong stock markets by using Beta-skew-t-EGARCH model and then uses the Copula function to analyse the co-movement relationships between Shanghai and Hong Kong stock markets before and after the implementation of the "Shanghai-Hong Kong Stock Connect Program". The results indicate that the co-movement relationships between the two cities enhanced after the implementation of this Program, and the program speeds up the integration process between these two cities. From the point of tail dependence coefficient view, the probability of the two synchronous decline is greater than that of synchronization increase after the implementation of "Shanghai-Hong Kong Stock Connect Program". Moreover, the two markets response to the impact of volatility increased after the Program.