香港国企H股与沪深股市股指收益率波动特征及其关系研究

选取香港国企H股指数、上证指数和深圳综指2003年2月26日至2006年5月12日的股票日收盘指数作为样本,运用TARCH模型研究收益率波动的特征.结果表明:三市指数收益率均存在信息不对称效应,但沪、深股市比香港国企H股波动剧烈.运用Johansen多变量协整关系检验及Granger因果关系检验.结果发现,它们之间存在着长期稳定的协整关系.香港国企H股与内地股市关系密切,香港国企H股的变动会对沪、深股市产生影响,而沪、深股市的变动不会对香港国企H股产生影响,同时上海股市的变动也会对深圳股市产生影响,但深圳股市的变动对上海股市影响不大.

Research on Fluctuation Characteristics and Relationship of Stock Index Return Rate Between Hongkong H-shares and Hu-shen Stock

With the daily data of the period from February 26,2003 to May 12,2006 from Hong- kong , Shanghai and Shenzhen stock markets, by applying the TARCH model, researches the char- acteristics of fluctuation of return rate, the results of the study demonstrate that the stock index return rate responds asymmetrically all of them, but Hu-shen stock market fluctuate more strongly. By using Johansen multivariable co-integration test and Granger causality test, the results demonstrate that there is long-term stable co-integration relationship among the three stock markets. Hongkong H-shares are related close to the mainland stock market , It also was indicated that Hongkong H-sha- res fluctuation influence the mainland market but the opposite doesn't exist, and Shanghai stock mar- ket fluctuation influence Shenzhen stock market but the opposite is not obviously.