價格發現與滬港通開放

Price Discovery before and after Shanghai-Hong Kong Stock Connect

江冠毅(Kuan-Yi Chiang)

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/財務金融學系碩士班/碩士(2016年)

https://doi.org/10.6846/TKU.2016.00758

摘要

本文主要探討在滬港通開放後對於中國和香港各自及彼此間現貨與期貨市場價格發生的變化。本文首先利用共整合檢定探討兩個市場間是否存在長期均衡關係。接著利用VECM-DCC-GARCH模型探討兩個市場間長期的調整速度及短期的預期報酬能力。再利用因果檢測(Granger Causality)去探討兩個市場間的領先落後關係。最後利用共同因子權重法(common factor weight)去探討價格發現主要發生在哪一個市場當中。　
　　研究結果顯示，中國和香港本身及彼此間的現貨與期貨市場均存在著長期均衡關係。在中國及香港本身的期貨與現貨市場當中，滬港通的開放對於本身期貨與現貨市場的長期均衡調整速度並沒有太顯著的差異，但在跨市場的結果當中可以看到，滬港通的開放均提升了中國市場的長期均衡挑整速度。接著從因果檢測可以得到只有中國市場本身的期貨價格領先現貨價格，香港本身期貨與現貨市場以及跨市場檢定皆無領先落後關係。最後從共同因子權重法可以得到，在滬港通開放後，中國本身價格發現仍存在於現貨市場，香港的價格發現仍存在於期貨市場；在跨市場研究當中，可以得到在滬港通開放後，中國和香港彼此現貨市場的價格發現轉向香港市場，然而在期貨市場的結果則是從香港的期貨市場轉向了中國的期貨市場。

關鍵字

價格發現 ； 滬深300指數 ； VECM-DCC-GARCH模型 ； 滬港通 ； 領先落後關係 ； 共同因子權重法

並列摘要

This thesis mainly investigates the price discovery relationship in Chinese and Hong
Kong’s stock and futures markets after Shanghai-Hong Kong Stock Connect Progress. First, we use cointegration test to investigate whether the both indexes have cointegration relationship. Second, we use VECM-DCC-GARCH model to investigate the speed of adjustment from long-run equilibrium and short-term predictive power between two indexes. Third, we use Granger Causality to investigate the lead-lag relationship between two indexes. Last, we use common factor weight measure to investigate the price discovery mainly happen
in which market.
We find some results from this thesis. First, in Chinese and Hong Kong’s spot and futures markets, this progress have no significance influence to the speed of adjustment from long-run equilibrium in their own spot and futures markets. But from the cross markets test, we find that this progress increase the speed of adjustment from long-run equilibrium in Chinese spot and futures markets. The price discovery process mainly happen in Hong Kong’s spot and futures markets. In Chinese and Hong Kong’s spot markets, price discovery have a little percentage change from Hong Kong to China after this progress.

並列關鍵字

Price discovery ； CSI 300 Index ； VECM-DCC-GARCH model ； Shanghai-Hong Kong Stock Connect ； Lead-lag relationship ； Common Factor Weight

參考文獻

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