本文以2013 年1 月1 日至2016 年6 月30 日之資料,探討「滬港通」開放前後,上海和香港兩地A+H 股價差的折溢價情況;同時以共整合和Granger 領先落後檢定,探討兩地股市的長期關係。實證結果顯示,「滬港通」開通之後,上海證交所的A 股股價相對香港聯交所的H 股價之價差反而擴大;此外,共整合和Granger 領先落後檢定結果顯示,在「滬港通」開放且人民幣匯改後,上海A 股指數和香港H 股指數之共整合現象相當顯著;同時A 股和H 股指數都互相領先對方,而且H 股對A 股的影響強度明顯大於A 股對H 股的影響。
This paper explores the price spread between A and H shares after "Shanghai-Hong Kong Stock Connect", and applies Cointegration and Granger causality tests to examine the long-term relationship between Shanghai and Hong Kong markets. The empirical results show that after the "Connect", the premium of A shares compared to H shares has widened. In addition, Cointegration and Granger causality tests reveal that, after the "Connect" and RMB exchange rate reform, the co-movement between Shanghai A shares index and Hong Kong H shares index has become stronger, and A shares index leads H shares index and vice versa. While H shares index also has significant influence on A shares index.