沪港通能否促进A股与香港股票市场一体化

doi:10.16381/j.cnki.issn1003-207x.2016.11.001

摘要/Abstract

摘要： 沪港通是否有助于促进A股与香港股票市场一体化?本文从微观视角研究沪港通标的股中A+H交叉上市公司A股和H股的价格差异，分析A股市场和港股市场一体化程度的变化并提出提高市场一体化的套利交易策略。基于转移模型的log t检验结果表明，交叉上市公司A股和H股价格的收敛性因公司和时间而变，具有收敛关系的交叉上市公司占比较低，A股与香港股票市场一体化程度较低且未见提高趋势。为提高股票市场一体化水平，本文基于价差极值服从广义帕累托分布（Generalized Pareto Distribution，GPD）的VaR模型构造了无套利区间的上下界，提出A+H交叉上市公司A股和H股套利交易策略，实证结果表明该策略能够获得显著的正收益。本文为市场一体化研究提供经验证据并为通过套利交易促进市场一体化提供解决方案，为深港通推出起到借鉴作用。

关键词: 沪港通, 股票市场一体化, log t检验, 广义帕累托分布, VaR

Abstract: Shanghai-Hong Kong Stock Connect is a cross-boundary investment channel under which investors in each market are able to trade shares on the other market using their local brokers and clearing houses. After the successful launching of the Shanghai-Hong Kong Stock Connect program in 2014, it is expected Shenzhen-Hong Kong Stock Connect program will be launched in 2016 according to Government Work Report 2015 and 2016. Does Shanghai-Hong Kong Stock Connect enhance stock market integration between Hong Kong and Mainland China? What predictions does it have on the launch of the Shenzhen-Hong Kong Stock Connect and How to promote stock market integration between Hong Kong and Mainland China? Differ from previous research, the stock market segmentation and integration is studied from a micro perspective focusing on the dynamics of the cross listed companies' A and H shares' prices. Under the assumption of efficient market, arbitrage will eliminate unreasonable gaps thus the stock prices (or return) of identical companies are apt to converge. If not, arbitrage opportunities arise and arbitrage capitalizes on unreasonable gaps while eliminate them and provide liquidity. The daily close prices of all together 84 cross listed companies from 2014 April, 10^th to 2016 March, 25^th are collected as our sample and the H shares' prices are adjusted to RMB prices by the exchange rate of identical day. The evolvement of price discrepancy between the cross listed A and H shares is first studied to analyze the impact of Shanghai-Hong Kong stock connect on market integration with application of transition model and log t test. And then arbitrage strategy between cross listed A and H shares is proposed to improve stock market integration by constructing arbitrage free interval with application of value at risk (VaR) model based on the assumption that gaps follow generalized Pareto distribution (GPD) and test its profitability.Empirical result shows that convergence between the cross listed A and H shares vary among individual companies and time, only 7 pairs of A and H shares of identical firm converge across the whole sample period, moreover there is no sign of uptrend as the number declines from 24 in 2014 to 8 in 2016 Q1. Therefore the integration level is unsatisfactory and Shanghai-Hong Kong Stock Connect has not fully functioned. However, arbitrage can contribute to market integration and the strategy produces significant average return of 3.64% for one week and 6.59% for two weeks. Out of sample test verifies the aforementioned findings and shows the strategy is effective and profitable. In this paper the evolvement of the Shanghai Hong Kong Stock Connect's policy effect is systematically studied. Besides, feasible strategy by arbitrage between cross listed stocks which facilitates market participants' spontaneous trading against unreasonable gaps as a solution of market segmentation is proposed. And our research provides enlightenment and empirical reference for Shenzhen-Hong Kong Stock Connect.

Key words: Shanghai-Hong Kong Stock Connect, stock market integration, log t test, GPD, VaR

中图分类号:

F830.9

闫红蕾, 赵胜民. 沪港通能否促进A股与香港股票市场一体化[J]. 中国管理科学, 2016, 24(11): 1-10.

YAN Hong-lei, ZHAO Sheng-min. Does Shanghai-Hong Kong Stock Connect Promote Integration between Hong Kong and Mainland China's stock market[J]. Chinese Journal of Management Science, 2016, 24(11): 1-10.

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