CAJ | 학술논문

沪港通制度是我国资本市场继QFII与RQFII制度之后的另一重要开放进程，这意味着我国内地股票市场与国际资本市场的联系将更加紧密，尤其是在与香港股票市场的联动性方面。本文以沪港通正式实施的时间(2014年11月17日)为转折点，将2013年1月4日至2015年4月10日这一时间段分为两个阶段，运用协整检验和格兰杰因果关系对沪市上证综合指数和香港恒生指数的日收盘数据进行实证研究。结果表明，在沪港通实施前后，上证综合指数和香港恒生指数之间的协整关系和因果关系发生了显著的变化。
호항통제도시아국자본시장계QFII여RQFII제도지후적령일중요개방진정，저의미착아국내지고표시장여국제자본시장적련계장경가긴밀，우기시재여향항고표시장적련동성방면。본문이호항통정식실시적시간(2014년11월17일)위전절점，장2013년1월4일지2015년4월10일저일시간단분위량개계단，운용협정검험화격란걸인과관계대호시상증종합지수화향항항생지수적일수반수거진행실증연구。결과표명，재호항통실시전후，상증종합지수화향항항생지수지간적협정관계화인과관계발생료현저적변화。
Shanghai-HK Stock Connect program is another important opening process after QFII and RQFII in our capital market. It means that our mainland stock market will be closer with international capital market, especially in the aspect of co-movement with Hong Kong stock market. With the turning point of Shanghai-HK Stock Connect program, this paper has empirically examined Shanghai composite index and Hong Kong’ s hang seng index of two sub periods divided from 4 January 2013 to 10 April 2015 by using Johansen Co-integration Test and Granger Causality Test. The results indicated that the Co-integration and Granger Causality between Shanghai composite index and Hong Kong’ s hang seng index has changed obviously before and after Shanghai-HK Stock Connect program.