摘要
随着中国加入WTO后股票市场国际化进程的加快，各种金融创新、政策创新和制度创新不断推出，中国股票市场分割的原有格局、结构、表现等也处于不断演进的过程中。2001年2月19日B股市场对外开放和2002年12月QFⅡ制度的正式推出，中国内地经济的持续快速发展以及越来越多的H股公司回到国内股市发行A股并作为权重股记入大盘指数，使得A、B、H股市场联动性逐渐增强，CDR和QDⅡ等金融创新将进一步影响和改变现有市场分割格局，内地经济的持续快速发展以及越来越多的H股公司回到国内股市发行A股并作为权重股记入大盘指数，内地股市与香港股市的联系越来越紧密。而与此同时，在两地双重发行股票的公司一般都是中国内地具有垄断性优势或业绩优良的大型企业，它们在香港市场上的股票价格却远远低于内地市场的价格。香港股市作为全球成熟的证券市场之一，与世界上规模最大的新兴市场——中国内地市场之间的一体化程度，是通过何种方式对内地股市产生影响或者被影响，成为一个值得研究的问题。而香港股市作为全球成熟的证券市场之一，与世界上规模最大的成熟市场——美国股市之间一直有着密切的联系。中国大陆、香港、美国三地股票市场之间是否具有彼此的长期关联性和股价波动的短期相关性?重大制度变革如何影响中国大陆、香港、美国三地股票市场之间的相关关系?香港股市在连接美国和中国内地股市的波动溢出和动态相关性方面起着什么样的作用?这些问题的研究不仅能了解股市间相关性的特征，引导全球资金的跨国流动和资源配置，更对市场的融资功能、投资策略、监管机制等问题具有重要的现实意义。
随着逐渐融入世界经济，中国经济获得了长足的发展。但与此同时，日益密切的国际联系和金融市场的开放使得中国股市在逐步融入世界市场的同时，也带了新的问题，即世界市场金融风险的溢出对中国内地新兴市场的冲击也使得中国经济更易于受到外界的冲击。因此，如何监测控制和中国股市的风险已经越来越受到业界、政府管理层以及学术界的重视。当对金融风险进行监控时，市场大幅下跌的概率常受到极大的关注。市场不确定性、政策的调整、不利的消息或冲击、投机力量的攻击及其它金融市场的风险溢出效应(如金融风险的传染性)均可导致市场价格大幅下滑。市场发生大幅下跌意味着巨额资金在投资者之间的转移，这将导致部分投资者破产，进而可能导致金融体系的崩溃和社会的不稳定。如2007年美国爆发的次级债危机引发了全球金融市场的波动。随着中国金融市场向世界市场的开放程度不断增加以及和香港这个成熟的金融市场之间的联动效应的逐渐增强，次级债危机的影响同样波及到了内地的上海和深圳市场。研究中国股市与成熟的世界性证券市场之间是否存在风险的溢出效应以及传导机制，对于中国资本市场的发展是十分具有参考价值的。本文通过模型实证检验金融市场之间的关系，希望能为后续的进一步研究提供一定的参考，并为国家对证券市场的改革和政策制订提供理论化、系统化的分析框架。
论文的总体思路是，首先简要介绍了国内和国际市场的背景以及对市场之间分割有重大影响的重大事件，为论文的研究做必要的背景介绍，是研究的现实逻辑起点。其次对国内外研究成果进行系统的归纳和总结，为论文的理论阐述提供借鉴和切入点，是论文研究的理论逻辑起点。然后通过构建模型对中国股市和世界主要股市之间的联系进行计算和分析，检验重大事件对市场间关系的影响，并分析了市场间一体化的进程和对金融稳定性的影响。最后是在前面研究的基础上对全文进行总结，提出相应的政策建议。
本文的创新之处主要体现在以下几个方面：一是采用动态相关系数的多元GARCH模型系统性度量了中、港、美三地股市间的收益波动冲击和动态相关性，模型和各个指标的整体模拟效果都比较理想，估计出时变的动态相关系数相对以前将相关系数假设为不随时间变化的情况有了明显的改进，更加符合金融市场的现实情况，改进了现有的研究仅仅是对市场之间一般性分割与否的实证检验。二是运用面板平滑转换模型(PSTR)这一非线性转化的时间序列模型衡量市场间一体化的增加程度，并且能度量从一个体制向另一个体制(即从分割到一体化)之间的平滑转移速度。三是针对金融危机的大背景，本文提出了金融市场稳定性指数，相对与以往研究偏重于研究银行系统的稳定性指数，做出了一项有意义的尝试。并将金融市场稳定性指数和市场间动态相关性系数结合起来，对市场间一体化程度对金融稳定性的影响进行了实证研究，探讨了市场之间风险传递对金融稳定性影响这一重要问题。
The Chinese stock market internationalization has experienced a rapidly development after China has joined the WTO and all kinds of financial innovations and policies has been established. The current structure of Chineses stock market segementation are mutating and evolving. After the B share market has been opened to oridinary investors on Feb, 19, 2001 and the foundation of QFII system in December, 2002, with more and more H share companies' return to A share market and being indexed, the integration of the A, B and H share markets has becomed more and more rapidly and the domestic stock market connects more and more intimate to the Hong Kong stock market. The H share companies are mostly monopolistic or well-profited ones in domestic China while the prices of their stocks are much cheaper than the ones in domestic markets. How does the HK stock market, which is one of the mature stock markets in the world, affect and integrate with the domestic China's stock markets, which are the biggest emerging markets in the world, would be a topic worth investigating. Meanwhile, the HK market has long been integrated with the US markets, which is the biggest mature market in the world. Is there any connection and relationship between their price volatility? How does the major constitution variation impact this relationship? What's the role of Hong Kong in this impact effect between the domestic China and US? The answers to these questions can not only let us know the mechanism of risk transfer between different markets but also shed some light on the financing function, investment strategy and the mechasnism of custody.
The Chinese economy has developed rapidly after its integration into the world. Meanwhile, the opness of Chinese financial markets and their connection with the world markets have brought new problems: the risk from international financial markets can transfer to Chineses markets more easily than ever. So the surveillance and control of such risks has provoked the attention of related deparments in government, industry and academy. The uncertainty of markets, adjustment of policy, bad news and unfavorable impacts, speculation power and the contagion effect between markets can all lead to awful wreck of stock markets, which means enormous amout of fund has been transferred between investors and most of them went bankruptcy and therefore the instability of society. The recent 2007 subprime crisis in US has triggered the instability of global financial markets. With the integration of Chinese stock market with the other part of the world, the instabitly has also been affected. It is of great value to investigate the mechanism of risk transfer between the market of China and the other mature stock market in developed countries and regions. This article has established several models to investigate such mechanism and hoped to be references of the further study and guide to the establishment of future reform and policy as theoretical framework.
The structure of this article is as follows: Firstly the background of domestic and foreign markets and the major events which might affect the integration process are introduced, which gives a realistic logical start of this thesis. Then a comprenhensive literature review in related fields is presented, which provides a theoretical logical start point of this work. Futhermore, different models are constructed using econometric techniques to analyse the risk transferring mechanism between different markets and test the inpact of major events to market integration and their influence to financial stability. Finally conlusions and related public policies are provided to summarize the whole thesis.
The innovations of this article are listed as follows: Firstly, a dynamic constant correlation multivariate GARCH model is established to measure rates of return shock and dynamic correlation and satisfying results are acquired, which significantly improve the former reseach which assumes that the correlation coefficients are constant and suit the realistic situation more favorably. Secondly, the Panel Smooth Transition Regression model, which is nonlinear time-seris model, has been used to measure the integration speed and extent between different markets and can stimulate the shift of one region to another quite well. Thirdly, this article introduced a financial stability index to study the relation between integration process and financial stability, which probe into the important issue of the imfluence of risk transfer to financial stability.
引文
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