發(fā)布時(shí)間：2017-12-31 11:34

  本文關(guān)鍵詞：同時(shí)開市背景下AH股的股價(jià)聯(lián)動(dòng)性研究　出處：《貴州財(cái)經(jīng)大學(xué)》2012年碩士論文　論文類型：學(xué)位論文

  更多相關(guān)文章： A+H股 聯(lián)動(dòng)性 協(xié)整 脈沖響應(yīng)函數(shù) 方差分解

【摘要】：A股和H股的聯(lián)動(dòng)性問題一直是政府、投資者和學(xué)者關(guān)注的重大問題，以往學(xué)者們針對這一問題做了大量的理論和實(shí)證研究。自2011年3月7日起，A股市場和港股市場同時(shí)開市。在這樣的背景下，本文在前人關(guān)于股票聯(lián)動(dòng)性問題研究的基礎(chǔ)上，先對以往的研究成果加以總結(jié)，然后選取62支，滿足以3月7日為分界點(diǎn)前后都有半年交易數(shù)據(jù)的A+H股票，收集其對應(yīng)的開盤價(jià)、收盤價(jià)、成交量的日數(shù)據(jù)，據(jù)此編制開盤價(jià)指數(shù)和收盤價(jià)指數(shù)。以開盤價(jià)指數(shù)和收盤價(jià)指數(shù)作為本文的主要研究對象，展開對A股和H股的股價(jià)聯(lián)動(dòng)性問題的研究。 本文首先從整體上對兩個(gè)指數(shù)加以分析。然后，以2011年3月7日為分界點(diǎn)，分為同時(shí)開市前和同時(shí)開市后兩個(gè)階段，對A股價(jià)格指數(shù)和H價(jià)格指數(shù)的聯(lián)動(dòng)性關(guān)系，利用計(jì)量經(jīng)濟(jì)學(xué)方法進(jìn)行了實(shí)證研究。具體方法有：相關(guān)系數(shù)檢驗(yàn)、ADF數(shù)據(jù)的平穩(wěn)性檢驗(yàn)、數(shù)據(jù)的協(xié)整檢驗(yàn)、VAR模型、脈沖響應(yīng)函數(shù)分析、方差分解等。經(jīng)由實(shí)證分析，，本文得出以下結(jié)論：（1）在2010年3月7日至2011年3月7日的一年中，A股和H股的股價(jià)存在較強(qiáng)的聯(lián)動(dòng)關(guān)系；（2）同時(shí)開市之后，A股和H股之間的股價(jià)聯(lián)動(dòng)性有所增強(qiáng)；（3）A股股價(jià)對H股股價(jià)的帶動(dòng)效應(yīng)更加明顯，即H股股價(jià)跟隨A股股價(jià)的聯(lián)動(dòng)效果更加明顯。 在理論和實(shí)證研究的基礎(chǔ)上，本文提出了三方面的建議。政策制定方面的建議包括：建立臨時(shí)休市制度、針對資本市場建立金融安全網(wǎng)、加強(qiáng)國際監(jiān)管的合作；對投資者的建議包括：關(guān)注聯(lián)動(dòng)性問題、不要盲目跟風(fēng)、理性對待AH股價(jià)差問題以及養(yǎng)成價(jià)值投資和長期投資的習(xí)慣；關(guān)于A股和H股股價(jià)聯(lián)動(dòng)性問題進(jìn)一步研究的方向，提出了:增加時(shí)間跨度、以2012年3月5日為分界點(diǎn)對AH股的聯(lián)動(dòng)性進(jìn)行研究、進(jìn)一步細(xì)化交易數(shù)據(jù)、將中午收盤價(jià)和下午開盤價(jià)納入研究范圍，引入事件研究法等。
[Abstract]:The linkage between A shares and H shares has been a major concern of the government, investors and scholars. In the past, scholars have done a lot of theoretical and empirical research on this issue. Since March 7th 2011. A-share market and Hong Kong stock market open at the same time. Under this background, this paper summarizes the previous research results and then selects 62 stocks on the basis of previous studies on stock linkage. To meet the March 7th as the demarcation point before and after there are half a year trading data A H stocks, collect their corresponding opening price, closing price, trading volume of the daily data. Based on this, the opening price index and closing price index are worked out, and the study on the linkage between A shares and H shares is carried out with the opening price index and closing price index as the main research object of this paper. This paper first analyzes the two indices from the whole. Then, taking March 7th 2011 as the dividing point, it can be divided into two stages: before and after the opening of the market at the same time. This paper makes an empirical study on the linkage between A share price index and H price index by econometrics method. The specific methods are: correlation coefficient test the stability test of ADF data and cointegration test of data. VAR model, impulse response function analysis, variance decomposition, etc. Through empirical analysis, the following conclusions are drawn: 1) in the year from March 7th 2010 to March 7th 2011. There is a strong linkage between A shares and H shares. 2) after the opening of the stock market at the same time, the stock price linkage between A shares and H shares increased; 3) the driving effect of A share price on H share price is more obvious, that is, the linkage effect of H share price following A share price is more obvious. On the basis of theoretical and empirical research, this paper puts forward three suggestions. The suggestions of policy formulation include: establishing temporary market closure system and establishing financial safety net for capital market. Strengthening international regulatory cooperation; Suggestions to investors include: pay attention to the linkage problem, do not blindly follow the trend, treat the problem of AH stock price difference rationally and form the habit of value investment and long-term investment; On the direction of further research on the linkage between A shares and H shares, this paper puts forward the following points: increasing the time span and taking March 5th 2012 as the dividing point to study the linkage of AH shares. Further refinement of the transaction data, the noon closing price and afternoon opening price into the scope of the study, the introduction of event research method.
【學(xué)位授予單位】：貴州財(cái)經(jīng)大學(xué)
【學(xué)位級別】：碩士
【學(xué)位授予年份】：2012
【分類號】：F832.51;F224

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本文編號：1359604