沪股通对我国证券市场价格发现的影响.docVIP

PAGE PAGE 32 沪股通对我国证券市场价格发现的影响 摘要：我国证券市场价格发现功能作为证券市场的一个重要经济功能，其发挥程度的强弱关系着我国证券市场发展的其他基本功能的实现程度，也代表着我国证券市场的发展状态。2014年11月17日“沪港通”的正式实施，对我国证券市场的投资者结构、投资理念、信息流动以及市场交易活跃度等都产生了影响，而这些都是价格发现的影响因素。基于以上背景，本文通过描述性分析法对A股和H股在“沪港通”开通前中后的日均交易量和日均交易额进行对比，分析发现“沪港通”的开通对A股和H股都产生了影响，大幅度地提升了A股的市场活跃度，但是对H股的影响程度会稍微比较小。然后通过格兰杰因果关系检验来比较“沪港通”开通前中后A股市场和H股市场之间的分割状态，格兰杰因果关系检验结果表明，“沪港通”的开通加强了H股对A 股的引导，增强了两个市场之间信息的流通。所以本文的结论表明沪股通的开通提高了我国证券市场价格发现水平。 关键词：沪股通；价格发现；格兰杰因果关系检验 Shanghai Equities impact on our country securities market price discovery Abstract: Price discovery function is one of the important economic function of our country securities market, and the degree of its play would affect the other degree of the realization of basic function of our country securities market. It also represents the state of the development of securities market in our country. On November 17, 2014, the Shanghai- Hong Kong Stock Connect Program has effects on structure of Chinas securities market investors, investment philosophy, information flow and market transaction activity which are the influence factors of price discovery. Based on the above background, this article has descriptive analysis of the comparison between the average daily trading volume and the average daily trading volume of A shares and H shares before the Shanghai- Hong Kong Stock Connect Program and after it. Analysis found that the opening of the Shanghai- Hong Kong Stock Connect Program affects both of A shares and H shares and greatly improve the activity of a-share market but on the impact of H shares will be A little smaller. And then through the Granger causality test to compare the division of A-share market and H-share market between the before and after of the Shanghai- Hong Kong Stock Connect Program. Granger causality test result shows that the openness of the Shanghai- Hong Kong Stock Connect Program strengthens the guidance of H shares to A shares and the flow of information between the two market. So the conclusion of this p