摘要
本文基于经济基础假说和市场传染假说两大基础理论,将股票收益率分解为开盘收益率和收盘收益率,运用GARCH-M模型研究了上海股市和香港股市之间的联动关系。结果显示,两大股市存在相互影响的联动关系,但是上海对香港股市的影响要强于香港对上海股市的影响,反映出两地之间的紧密经济关系及大陆对香港地区经济影响日益增强的现实。
A diagrammatic diagram of opening and closing price for Shanghai and Hong Kong stock market shows that there might be a co-movement trend which can be explained by economic basis hypothesis and marketing infection hypothesis. We can use GARCH-M model which consider the serial correlation and ARCH effect to calculate the extent of co-movement by decomposing the stock yield rate into opening and closing yield rate and setting up a linear equation between them. The result reveals that there indeed exists a co-movement between them and Shanghai stock market had a stronger influence on Hong Kong market than vice versa. The paper also shows that there is a close economic tie be- tween them and the mainland has an increasingly strong influence on Hong Kong＇ s economy.
出处
《金融发展研究》
2013年第5期20-25,共6页
Journal Of Financial Development Research
基金
中国人民大学科学研究基金(中央高校基本科研业务费专项资金资助)项目"国际经济周期的协同性与非协同性--东亚的实证研究"
项目批准号13XNH098
关键词
上证综指
恒生指数
股票收益率
联动性
Shanghai Composite Index, Hang Seng Index, stock yield, co-movement
