主管：中国科学院
主办：中国优选法统筹法与经济数学研究会
　　　中国科学院科技战略咨询研究院
中国管理科学

中国管理科学 ›› 2010, Vol. 18 ›› Issue (3): 10-16.

• 论文 • 上一篇    下一篇

A+H交叉上市股票间信息传递的不对称性研究

郭彦峰1, 黄登仕1, 魏宇1, 林宇2   

  1. 1. 西南交通大学经济管理学院, 四川成都610031;
    2. 成都理工大学商学院, 四川成都610059
  • 收稿日期:2009-06-22 修回日期:2010-04-12 出版日期:2010-06-30 发布日期:2010-06-30
  • 作者简介:郭彦峰(1972- ),男(汉族),山西五寨人,西南交通大学经济管理学院博士研究生,研究方向:资本市场理论与实证.
  • 基金资助:

    国家自然科学基金资助项目(70501025,70771095,70771097);教育部新世纪优秀人才支持计划资助项目(NCET-08-0826);教育部创新团队发展计划资助项目(PCSIRT0860)

A Study on the Asymmetric Effect of Information Transmission between the A and H Shares Cross-listing Stocks

GUO Yan-feng1, HUANG Deng-shi1, WEI Yu1, LIN Yu2   

  1. 1. School of Economic and Management, Southwest Jiao Tong University, Chengdu 610031, China;
    2. Business School, Chengdu University of Technology, Chengdu 610059, China
  • Received:2009-06-22 Revised:2010-04-12 Online:2010-06-30 Published:2010-06-30

PDF (PC)

1211

被引次数

35

摘要： 研究交叉上市的香港H股与内地A股市场H股板块间信息传递的不对称性问题。以收益率和波动性作为信息流动的代理变量,采集2003年1月至2009年4月H股指数和H股板块指数的日收盘数据,通过Granger因果检验和动态条件相关二元GARCH模型进行实证检测。结果发现:收益信息由H股市场向H股板块市场单向传递,波动信息主要由H股板块市场向H股市场传递,信息传递呈现不对称性,并分别符合"国际中心"和"国内偏好"假说;H股市场与H股板块市场间的条件相关性是动态变化的,在内地A股市场引进合格的香港机构投资者后相关性逐渐增加。

关键词: H股, H股板块, 动态条件相关二元GARCH, 信息传递, 不对称性

Abstract: This paper studies the asymmetric problem of information transmission about the A and Hshares cross-listing stocks.We take an empirical test by the Granger causality test and dynamic conditional correlation bivariate GARCH model with the daily closing price datum of H-share index and H-shares plate index from the January 2003 to the April 2009,considering the return and volatility as the representative variables of the flow of information.The results show that the return information is transmitted from the H-shares market to H-shares plate marketin one way,while volatility information is mainly from H-shares plate market to H-shares market.From the results,we can see that,the transmission of information is of asymmetry,and they are respectively in line with "international center" and "home bias" hypothesis.Furthermore,the conditional correlation of the two markets changes dynamically with an upward trend after introducing qualified Hongkong institutional investors.

Key words: H-shares, H-shares plate, DCC-BV-GARCH, information transmission, asymmetric effect

中图分类号: