滬港通對滬、深、港三地市場之價量關聯性影響

金融市場無國界，在全球環境下，國外各主要交易所紛紛透過相互掛牌、委託單轉送（Order Routing）、跨境交易及合併等國際合作方式進行策略聯盟，透過雙方共同行銷，開拓新客源，擴大規模，並汲取彼此發展經驗，創造綜效，提昇競爭力。本研究的主要動機是以探討跨境交易平台對證券交易市場帶來之價量影響出發，觀察此政策對滬、港、深加權指數的影響。本研究採用一般化自我迴歸異質變異數模型（GARCH模型）探討滬港通前後三地市場對成交量與加權指數的波動影響是否顯著，並以動態Copula模型求得之上證A股指數、恒生綜合指數與滬深300指數三地市場價格的相關係數(τ)來檢定滬港通的傳染效果，以檢視價量的變化相關程度。結果發現，上證A股指數、恒生綜合指數和滬深300指數的價量在滬港通前雖呈正相關變化，但相關性極低。滬港通後，除了恒生綜合指數價量的連動性反而降低外，上證A股指數和滬深300指數的價量的連動性都有提高的趨勢，但三地市場連動性增減的幅度均很小。顯示股市的國際化程度越高，受到單一事件的影響程度較相對封閉的市場來得輕微；然而開放程度較低的市場開啟跨境交易後，確實能在短期內看到量增價漲的效益，惟是否能持續刺激股市價量繼續成長，仍需觀察。

關鍵字

跨境交易；波動性；事件研究法；滬港通；臺星通； Copula模型

並列摘要

In a global environment, several major exchanges do strategic alliances, such as mutual listing, order routing, cross-border transactions and mergers and other forms of international co-operation, to explore new customers. Through mutual marketing source, they can expand the scale, and learn from each other's experience in development, and create synergy to enhance competitiveness. This study aims to examine the impact of cross-border trading platform on the return and trading volume of the Shanghai, Hong Kong and Shenzhen stock markets. In empirical study, we apply the asymmetric GJR-GARCH Type model to test the fluctuations significance of the Shanghai, Hong Kong and Shenzhen stock markets before and after the roll out of Shanghai-Hong Kong Stock Connect (the event). This thesis further fit the dynamic Normal Copula model on these three stock markets to test the contagion effect in whole sample, before and after the event. According the correlation coefficient (Kendall's tau), it was found that the relevance of return and volume of the Shanghai A-share Index, Hang Seng Composite Index and the CSI 300 index before the event were positive but small. After the event, except the correlation of the Hang Seng Composite Index return and volume decreased, the correlation of return and trading volume on the Shanghai A-share Index and the CSI 300 Index had both increased, but the magnitude of both increase or decrease were slight. This shows that the higher international the stock market is, the less effect single event will have on the market. However, when the less open market start to do cross-border transactions, it can really gain the benefit on return and trading volume increasing in short term, However, whether the event can continue to stimulate the stock market to growth remains to be tested.

並列關鍵字

Cross-Border Trading Platform ； Volatility ； Event Study ； Shanghai-Hong Kong Stock Connect ； TWSE-SGX Stock Connect ； Copula

參考文獻

7. 林娟卉（2015），滬港通政策對於A+H股折溢價、宣告效果、及市場效率性影響，中原大學國際商學碩士學位學程學位論文

12. 臺灣證券交易所(2014)，「台星跨境交易評估報告」，2014年1月12日

1. 王冠尊(2011)，臺灣股價指數與總體經濟關聯性結構之研究Copula模型之應用，淡江大學財務金融學系碩士班學位論文

2. 江冠毅（2016），價格發現與滬港通開放，淡江大學財務金融學系碩士班學位論文

4. 汪拓冰（2016），滬港通開通對兩岸三地股價與關聯性影響研究，淡江大學財務金融學系碩士班學位論文

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滬港通對滬、深、港三地市場之價量關聯性影響

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