我国多层次资本市场不断完善, 沪港通、基金互认、债券通、深港通、跨境理财通等系列制度不断推进内地和香港金融市场的互联互通.在这一背景下, 本文选取沪深主板、创业板、中小板、新三板以及香港主板五大股市, 构建方差分解溢出指数, 从时域和频域两方面深入考察我国股市间跨市场跨地区的波动溢出关系, 并对总溢出效应的影响因素进行实证检验.研究结果表明:我国股市间具有显著的跨市场跨地区溢出效应, 其中香港主板一直是溢出净接收者, 这说明互联互通机制推动下大陆股市对香港主板的影响较大;另外, 时域总溢出与长期总溢出水平的时间序列演进过程高度协同, 但在不同时期表现出异质性, 特别是, 深港通的启动对我国股市系统性风险产生了短期影响, 增加了短期溢出水平;科创板的推出则使得短期总溢出水平占优于长期.通过对总溢出效应的相关影响因素进行回归分析, 发现人民币对港币汇率和消费者信心指数这两大因素显著影响着我国内地多层次市场和香港市场间的波动溢出程度.
Abstract
China's multi-level capital market has been improving continuously, and a series of measures, such as Shanghai-Hong Kong Stock Connect, mutual recognition of funds, Bond Connect, Shenzhen-Hong Kong Stock Connect, and Cross-border Wealth Management Connect, continue to promote the connection between Chinese mainland and Hong Kong financial markets. This paper selects five major stock markets, namely, Shanghai and Shenzhen Main Board, Growth Enterprise Market (GEM), Small and Medium Enterprise Board (SME board), New OTC Market and Hong Kong Main Board, to construct the variance decomposition spillover index and examine the volatility spillover relationship between China's stock markets across markets and regions in both time and frequency domains. It also empirically tests the influencing factors of the total spillover effect. The results show that: There is a significant cross-market and cross-region spillover effect between China's stock markets; Hong Kong's Main Board has been a net recipient of spillovers, which suggests that Chinese mainland stock market has a greater impact on Hong Kong's Main Board; furthermore, the time-series evolution process of the total spillover in the time domain and the level of the total risk spillover in the long run is highly synergistic, but shows particular heterogeneity in different periods. In particular, the launch of the Shenzhen-Hong Kong Stock Connect has had a short-term impact on the systemic risk of China's stock market, increasing the short-term risk spillover level; the launch of the Science and Innovation Board (S&T Board) makes the short-term total spillover level dominate over the long-term. A regression analysis of the relevant influencing factors of the aggregate spillover effect reveals that two major factors, the exchange rate of RMB to HKD and the consumer confidence index, significantly affect the spillover effect among Chinese mainland and Hong Kong financial markets.
关键词
风险溢出 /
深港通 /
人民币汇率 /
香港主板
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Key words
risk spillover /
Shenzhen-Hong Kong Stock Connect /
RMB exchange rate /
Hong Kong Main Board
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脚注
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基金
国家自然科学基金(72071109,71901123,72141304,71532009);科技部重点研发项目课题(2022YFC3303304)
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