金融学院知识库

       资本市场因为拥有着良好的资源配置功能而使得经济持续稳定发展有了充 分保障。这些年以来，我国的股票市场对国际资本市场的影响力日益增强。但是， 我国股票市场与许多境外发达的资本市场相比而言，仍然存在着相对大的差距。 这些差距主要体现在我国的投资者主要是个体投资者，交易模式和相关的法律制 度不完善等方面。这些导致我国资本市场不能很好地保护投资者的利益，从而影 响了资本市场资源配置功能。因此，沪港通和深港通的开放就成为了我国资本市 场与国际资本市场接轨的一项重要举措，是我国资本市场尤其是股票市场发展历 程中里程碑式的事件。沪港通开放以后香港市场对上海市场的影响对于促进股市 长期健康发展、认知全球经济一体化下的风险变化、加快我国金融市场开放步伐 具有重要的意义。

       本文从实证的角度出发，通过选取 2009 年至 2019 年之间上证综指、恒生 指数的周开盘价、收盘价的数据作为主要研究对象，同时选取深圳股市以及沪港 通的相关数据作为辅助，利用广义方差分解动态路径模型（GFEVD）分析沪港通 开放后的收益与波动溢出效应，并与沪港通开放前进行比较。结果显示：第一， 从整体上分析，香港的收益和波动对上海股市的溢出效应呈现出波动上升的趋势。 影响时期的长度也有所增加；第二，对比深圳市场而言，沪港通在开放以后，中 国香港市场收益率和波动性对上海市场的溢出效应有明显的大幅提升，这显示出 香港市场地区领导地位和影响力逐渐增强。与此同时，开放后上海市场的国际地 位也在同步提升；不过上海市场的收益率与波动率的震荡幅度较大，这与上海金 融体系稳定性也有很大关系，其中千股跌停与中美贸易战两个事件对其波动有着 重大影响：第三，结合数据期间内的政治、经济的相关大事件进行分析，发现区 域之间的金融合作会增大香港市场对上海市场的溢出效应。中国香港与内地建立 紧密的经贸合作关系不但有利于上海金融市场的发展也有利于巩固中国香港国 际金融中心地位，是一个双赢的局面。根据以上结论，文章提出了三点建议：完 善市场监管体制，建立风险预警机制，增强地区间金融合作。

Because of the capital market has a good resource allocation function, the sustained and stable development of the economy is fully guaranteed. Over the years, my country’s stock market has become increasingly influential on international capital markets. However, compared with many overseas developed capital markets, my country's stock market still has a relatively large gap. These gaps are mainly reflected in: investors in my country are mainly individual investors, my country's trading model and related legal systems are not perfect. All these have led to my country's capital market not being able to protect the interests of investors, which has affected the function of capital market resource allocation. Therefore, the opening of Shanghai-Hong Kong Stock Connect and Shenzhen-Hong Kong Stock Connect has become an important measure for my country's capital market to connect with the international capital market, and it is a milestone in the development of my country's capital market, especially the stock market. After the opening of the Shanghai-Hong Kong Stock Connect, the study of the impact of the Hong Kong market on the Shanghai market is of great significance for promoting the long-term healthy development of the stock market, recognizing the risk changes under the global economic integration, and accelerating the pace of my country's financial market opening.

From an empirical point of view, this article selects the data of the Shanghai Composite Index, weekly opening price and closing price of the Hang Seng Index between 2009 and 2019 as the main research objects, and at the same time selects the relevant data of Shenzhen Stock Market and Shanghai-Hong Kong Stock Connect as assistance The generalized variance decomposition dynamic path model (GFEVD) was used to analyze the return and volatility spillover effect after the Shanghai-Hong Kong Stock Connect was opened, and compared with that before the Shanghai-Hong Kong Stock Connect was opened. The results show: 1. From an overall analysis, the spillover effect of Hong Kong's earnings and volatility on the Shanghai stock market shows a rising trend of volatility. The length of the period of influence has also increased; 2. Compared with the Shenzhen market, after the opening of the Shanghai-Hong Kong Stock Connect, the spillover effect of the Hong Kong market yield and volatility on the Shanghai market has significantly increased significantly, which shows that the regional leadership of the Hong Kong market The status and influence gradually increased. At the same time, the international status of the Shanghai market has also increased since the opening up; however, the fluctuation rate of the Shanghai market’s yield and volatility is relatively large, which is also closely related to the stability of the Shanghai financial system. The two events of the trade war have a significant impact on its volatility; 3. Combined with the analysis of major political and economic events during the data period, it was found that regional financial cooperation will increase the spillover effect of the Hong Kong market on the Shanghai market. The establishment of close economic and trade cooperation between Hong Kong, China and the mainland not only benefits the development of the Shanghai financial market, but also consolidates the status of Hong Kong, China’s international financial center, and is a win-win situation. Based on the above conclusions, the article puts forward three suggestions: establish a reasonable supervision system, establish an effective early warning mechanism and strengthen regional cooperation.