论文部分内容阅读
2014年11月17日“沪港通”正式启动,两地经济联系更加密切。以中证恒生沪港通AH精明指数代表“沪港通”政策因素,对政策实行前后的两地股市采用GARCH模型分别进行建模,通过前后的比较来分析两地波动溢出效应的变化,分析发现:“沪港通”实行之前,中国内地股市与香港股市存在双向波动溢出效应,而“沪港通”实行之后,波动溢出效应仍为双向,但其作用程度有所减弱,“沪港通”对内地股市有平缓其波动的积极作用。
November 17, 2014 “Hong Kong-Shanghai Stock Exchange” was officially launched with closer economic ties between the two places. Based on the policy of AH Smart Index on behalf of Shanghai Stock Exchange and Shanghai Stock Connect, the two stock markets were modeled using GARCH model before and after the policy was implemented, and the changes of volatility and spillover effect between the two places were analyzed through comparison , The analysis found that: Before the implementation of “Shanghai-Hong Kong Stock Connect”, there was a two-way volatility spillover effect between the Mainland and Hong Kong stock markets. However, after the implementation of “Shanghai-Hong Kong Stock Connect”, the volatility spillover effect was still two-way but its degree of effect was somewhat Weakening, “Shanghai-Hong Kong Stock Connect” has a positive effect on easing fluctuations in the mainland stock market.