「滬港通」對滬港股市流動性、換手率、報酬率共性的影響

Abstract

本文旨在探索股票市場中流動性、換手率、報酬率的共性是如何隨時間的變化而變化的，並證實文獻中所討論的供給面因素會對流動性的共性產生顯著的影響。2014 年11 月17 日中國市場開通了“滬港通”的互聯互通機制，本研究用滬港兩個股市中2007 年1 月至2016 年3 月的日數據，來研究滬港通前後流動性、換手率、報酬率共性的變化。實證結果發現，滬港通開通之後，滬股的流動性共性明顯上升，但港股的流動性共性下降。而滬港兩股市的換手率共性和報酬率共性均明顯上升。

This study aims to explore how commonality in liquidity, commonality in turnover and commonality in return varies in time-series and to reconcile with previous studies that demand-side factors exert significant influence on the commonality in liquidity. In this study, we focus on Shanghai and Hong Kong stock markets over the period January 2007 till March 2016, to examine commonality in liquidity, turnover and return of a new event of Chinese stock market named Shanghai-Hong Kong Stock Connect Program which officially carried out on 17th November 2014. Our evidence illustrate that commonality in liquidity improving significant greater on A shares after the launch of Shanghai-Hong Kong Stock Connect, while that of H shares perform a decrease. And the commonality in turnover and return exert increasing tendency on both A and H shares.