香港股市与美国、英国股市的联动性

通过多变量协整理论，检验香港股票市场和世界上主要的股票市场一美国、英国股票市场的联动关系。结果表明，在1993年1月至1995年12周期间，香港市场与这些世界主要发达国家市场存在着弱的协整关系；而在1999年6月至2002年5月，香港股市与美、英股市之间不存在着协整关系。这一结果意味着分散投资于美、英市场与香港市场存在着长期的获利机会。

Linkages between the Hong Kong and the US and UK stock markets

This article examines linkages between the Hong Kong stock market and the major world stock markets of the US and the UK, by estimating the multivariate cointegration model. In this study, the Hong Kong stock market was found to be at least weakly cointegrated with the major developed markets over period of 01/01/1993 to 29/12/1995, but more interestedly there is no cointegration between them over the period of 01/06/1999 to 31/05/2002. These results seem in line with the fact that the Hong Kong market has some structural change before and after the 1997 power transfer, which ensure the robustness of the methodologies. The fact that the US and the UK market are not pairwise cointegrated with the Hong Kong market, implies that there exist potential long-run benefits in risk reduction from diversifying in US and UK stocks and Hong Kong stocks without sacrificing too much on investment returns.