滬港通對香港股市及上海股市影響性分析

The Impact of Shanghai-Hong Kong Stock Connect on Returns of the Hong Kong and Shanghai Stock Markets

歐奇男(Chi-Nan Ou)

指導教授 ： 李命志

共同指導教授 ： 李彥賢(Yen-Hsien Lee)

淡江大學/商管學院/財務金融學系碩士在職專班/碩士(2016年)

https://doi.org/10.6846/TKU.2016.00318

摘要

中國大陸為改革金融市場，提高了人民幣的國際化，開放金融市場吸收外資，2014年11月更將上海股市與香港股市兩地連接互相投資，俗稱「滬港通」。本文採用台灣經濟新報TEJ資料庫所提供香港恆生指數與中國上海A股指數之資料，研究資料期間為1992年01月至2015年12月來探討上海A股股市與香港恆生股市有無正向回饋之情形，加入「滬港通」事件後對兩地股市有無加重其正向回饋之關係。
本文採用GARCH模式實證發現，對上海A股股市無顯著正向回饋，對香港恆生股市有加重正向回饋之顯著效果，香港恆生股市比上海A股對「滬港通」事件反應更顯著，主要原因上海A股受中國政府政策面影響較深，香港恆生股市較開放、自由。

關鍵字

正向回饋 ； 滬港通 ； 香港恆生指數 ； 中國上海A股指數 ； GARCH模式

並列摘要

In November 2014, the Shanghai-Hong Kong Stock Connect program connecting the Shanghai Stock Exchange and the Hong Kong Stock Exchange was launched as a part of mainland China's financial market reform efforts. This thesis evaluates whether or not positive feedback trading behavior existed in Hong Kong's Hang Seng Index and China's SSE A-share Index prior to the launching of the Shanghai-Hong Kong Stock Connect program, and whether the Shanghai-Hong Kong Stock Connect program has had the effect of increasing positive feedback trading using the data on Hong Kong's Hang Seng Index and China's SSE A-share Index retrieved from the period of January 1992 to December 2015 on Taiwan Economic Journal (TEJ) database..
Empirical analysis using the generalized autoregressive conditional heteroscedasticity (GARCH) model showed that the Shanghai-Hong Kong Stock Connect program did not result in a significant increase of positive feedback trading in China's A-share stock market, but had a significant effect on the increasing of positive feedback trading in Hong Kong's stock market. The Hong Kong stock market reacted more significantly to the Shanghai-Hong Kong Stock Connect program than China's A-share stock market. The primary reason for this is that China's SSE A-share Index is much more heavily influenced by the government policy of mainland China, whereas the Hong Kong stock market is a much more liberal, open market.

並列關鍵字

Positive feedback ； Shanghai-Hong Kong Stock Connect ； Hong Kong Hang Seng Index ； China SSE A-share Index ； GARCH model

參考文獻

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