深港通开通前后深港股市联动与风险溢出效应研究
|
摘要
以深港通开通为时间分界点,运用DCC-GARCH模型和基于分位数回归的GARCH-CoVaR模型,先从整体上测度了深港两市联动的时变相关系数,然后从风险溢出的角度出发,测度了深港两市风险溢出的强度和方向,深度剖析了深港通政策的实施效果。研究表明:深港通的实施整体上有效地提高了深港两市的联动性,促进了两地股市的互联互通。在两市联动性有所提高的基础上,港市对于深市的风险溢出效应也有所增强,深市对港市的风险溢出效应却变化不大,两市之间的风险溢出存在显著的不对称性,且这种不对称性在深港通实施后有所扩大,说明深港通机制的施行在一定程度上还加剧了深市与港市之间风险溢出的不对称效应。
Taking the opening of Shenzhen-Hong Kong Stock Connect as the demarcation point,using the DCC-GARCH model and the GARCH-CoVaR model based on quantile regression measured the time-varying correlation coefficient between Shenzhen stock market and Hong Kong stock market at first,and then measured the strength and direction of risk spillovers between Shenzhen stock market and Hong Kong stock market from the perspective of risk overflow in order to research the implementation effect of the Shenzhen-Hong Kong Stock Connect Policy.Research shows that the implementation of Shenzhen-Hong Kong Stock Connect has effectively enhanced the linkage between Shenzhen stock market and Hong Kong stock market as a whole and promoted the interconnection of the two stock markets.On the basis of the improvement of the linkage between two markets,the risk spillover effect of the Hong Kong market for the Shenzhen market has also been strengthened,the risk spillover effect of the Shenzhen market for the Hong Kong market has changed little.The risk spillover between two markets is significantly asymmetric,and this asymmetry has been expanded after the opening of Shenzhen-Hong Kong Stock Connect,It indicates that the implementation of the Shenzhen-Hong Kong Stock Connect,to a certain extent,has also aggravated the asymmetric effect of risk spillover between Shenzhen stock market and Hong Kong stock market.
Taking the opening of Shenzhen-Hong Kong Stock Connect as the demarcation point,using the DCC-GARCH model and the GARCH-CoVaR model based on quantile regression measured the time-varying correlation coefficient between Shenzhen stock market and Hong Kong stock market at first,and then measured the strength and direction of risk spillovers between Shenzhen stock market and Hong Kong stock market from the perspective of risk overflow in order to research the implementation effect of the Shenzhen-Hong Kong Stock Connect Policy.Research shows that the implementation of Shenzhen-Hong Kong Stock Connect has effectively enhanced the linkage between Shenzhen stock market and Hong Kong stock market as a whole and promoted the interconnection of the two stock markets.On the basis of the improvement of the linkage between two markets,the risk spillover effect of the Hong Kong market for the Shenzhen market has also been strengthened,the risk spillover effect of the Shenzhen market for the Hong Kong market has changed little.The risk spillover between two markets is significantly asymmetric,and this asymmetry has been expanded after the opening of Shenzhen-Hong Kong Stock Connect,It indicates that the implementation of the Shenzhen-Hong Kong Stock Connect,to a certain extent,has also aggravated the asymmetric effect of risk spillover between Shenzhen stock market and Hong Kong stock market.
引文
[1]Eun C S,Shim S.International Transmission of Stock Market Movements[J].Journal of Financial&Quantitative Analysis1989,24(2):241-256.
[2]Leong,Miyakoshi.Spillovers of stock return volatility to Asian equity markets from Japan and US[J].International Financial Markets,Institutions&Money 2003,(13):23-30.
[3]C Kearney,V Poti.Correlation Dynamics in European Equity Markets[J].Research in International Business&Finance,2006,(203):305-321.
[4]PF Diamandis.Financial Liberalization and Changes in the Dynamic Behaviour of Emerging Market Volatility:Evidence from Four Latin American Equity Markets[J].Research in International Business&Finance,2008,(223):362-377.
[5]J Beirne,GM Caporale,M Schulze-Ghattas,N Spagnolo.Volatility Spillovers and Contagion from Mature to Emerging Stock Markets[J].Review of International Economics,2013,(215):1060-1075.
[6]Qianqian Wang,Seung Mo Choi.Co-movement of the Chinese and U.S.aggregate stock returns[J].Applied Economics,2015,(26):47-50.
[7]Larisa Yarovaya,Marco Chi Keung Lau.Stock market comovements around the Global Financial Crisis:Evidence from the UK,BRICS and MIST markets[J].Research in International Business and Finance,2016,(37):605-619.
[8]C Eom,JW Park.Effects of Common Factors on Stock Correlation Networks and Portfolio Diversification[J].lnternational Review of Financial Analysis,2017,(01):49-61.
[9]庞海峰,刘振亮,庞舒月.基于Copula函数的深港通开通前后沪港股市相关性分析[J].哈尔滨商业大学学报(社会科学版),2017,(04):77-84.
[10]张东祥,郭洋.互联互通对两岸资本市场联动性的影响[J].投资研究,2017,36(09):95-106.
[2]Leong,Miyakoshi.Spillovers of stock return volatility to Asian equity markets from Japan and US[J].International Financial Markets,Institutions&Money 2003,(13):23-30.
[3]C Kearney,V Poti.Correlation Dynamics in European Equity Markets[J].Research in International Business&Finance,2006,(203):305-321.
[4]PF Diamandis.Financial Liberalization and Changes in the Dynamic Behaviour of Emerging Market Volatility:Evidence from Four Latin American Equity Markets[J].Research in International Business&Finance,2008,(223):362-377.
[5]J Beirne,GM Caporale,M Schulze-Ghattas,N Spagnolo.Volatility Spillovers and Contagion from Mature to Emerging Stock Markets[J].Review of International Economics,2013,(215):1060-1075.
[6]Qianqian Wang,Seung Mo Choi.Co-movement of the Chinese and U.S.aggregate stock returns[J].Applied Economics,2015,(26):47-50.
[7]Larisa Yarovaya,Marco Chi Keung Lau.Stock market comovements around the Global Financial Crisis:Evidence from the UK,BRICS and MIST markets[J].Research in International Business and Finance,2016,(37):605-619.
[8]C Eom,JW Park.Effects of Common Factors on Stock Correlation Networks and Portfolio Diversification[J].lnternational Review of Financial Analysis,2017,(01):49-61.
[9]庞海峰,刘振亮,庞舒月.基于Copula函数的深港通开通前后沪港股市相关性分析[J].哈尔滨商业大学学报(社会科学版),2017,(04):77-84.
[10]张东祥,郭洋.互联互通对两岸资本市场联动性的影响[J].投资研究,2017,36(09):95-106.