摘要
作为我国资本市场对外开放的又一里程碑,沪港通的成功开启不仅对沪港两市的联动性产生了深远影响,还给我国资本市场带来了一系列连锁的市场效应。文章利用复杂网络中的MST与PMFG算法检验分析了沪港通所带来的这一系列效应,并采用了事件分析法和Placebo检验法验证分析结论的稳健性。研究表明:(1)在沪港通宣告前和开通后,市场内的关联度明显大于市场间的关联度,两地市场存在一定的分离,而在公示期市场内的关联度明显小于市场间的关联度,市场在一定程度上出现融合。(2)在公示期间两地资本市场的关联程度增加,市场表现出了显著的预期效应。(3)开通后两地市场关联度在短期内呈现增加趋势或维持在较高水平,市场呈现出了一定的短期套利效应;在内地单方面政策的影响下,两地市场关联度降低,市场展现出了相应的政策效应。该结论将对资本市场中投资者的理性投资具有一定的启发和指导意义。
The Shanghai-Hong Kong Stock Connect（SHSC） program,which was launched on November 17 th,2014,is a cross-boundary investment channel that connects the Shanghai Stock Exchange and the Hong Kong Stock Exchange. Under the program,investors in each market are able to trade shares on the other market using their local brokers and clearing houses.With the introduction of the SHSC Policy,its interconnection mechanism can be regarded as the elimination of the two-way flow restriction between Shanghai and Hong Kong capital.Therefore,to a certain extent,the implementation of SHSC will effectively strengthen the marketization of Chinese capital.In order to investigate whether the launch of SHSC has truly promoted the two-way opening up between China's Mainland and Hong Kong,this paper is trying to verify the series of market effects brought by SHSC.We firstly divides the development of SHSC into three stages：before,during and after the announcement,and then we construct the corresponding network topology characteristics for each stage based on the complex network theory and analyze the changes in the correlation degree of Shanghai-Hong Kong stock market.Specifically,based on both Shanghai Stock Exchange 180 Index and Hang Seng Index constituent stocks,and their cross-listed A-shares and H-shares（2013-01 to 2016-02）,by using MST and PMFG algorithms,this paper studies the overall implied stock market information and explores the effects caused by SHSC.The results show that：（1）Before the announcement of SHSC and after the launch of SHSC,the dependence existing inside each market is larger than the one between two markets,and A-shares and H-shares are separated to each other;while during the public announcement,they are indeed showing some mixing.（2）During the announcement of SHSC,the dependence between Shanghai and Hong Kong stock markets is strengthened,and significant expected market effects are demonstrated.（3）After the launch of SHSC,the market dependence increases and remains at a high level in the
作者
方艳
贺学会
吴文彬
Fang Yan;He Xuehui;Wu Wenbin(School of Finance and Management,Shanghai University of International Business and Economics,Shanghai 201620,China;School of Finance,Shanghai University of Finance and Economics,Shanghai 200433,China)
出处
《上海财经大学学报（哲学社会科学版）》
CSSCI
北大核心
2018年第4期93-110,共18页
Journal of Shanghai University of Finance and Economics
基金
国家自然科学基金资助项目"基于贝叶斯-Copula的高维离散变量相依性研究"(11501355)
上海市教育委员会科研创新项目"基于Copula的高维离散变量相依性的统计分析"(15ZZ090)
国家社科基金重大项目(15ZDA058)
教育部人文社会科学研究项目规划基金项目(15YJA790039)
中国博士后科学基金第59批面上资助
关键词
沪港通
预期效应
套利效应
政策效应
复杂网络
拓扑结构特征
Shanghai-Hong Kong Stock Connect
expected effects
arbitrage effects
policy effects
complex networks
topological structure characteristics
