论文部分内容阅读
本文研究A+H交叉上市股票涨跌幅度溢出效应。选取1997年1月1日到2015年8月19日87对A+H股日收益率数据,通过计算相关系数、历史收益回测及Granger因果关系检验进行实证研究,得出结论:H股上市股票上涨15%后会对相应A股产生明显的溢价效应;H股下跌15%后对应A股中短期内有一定下跌风险,要回避抄底买入对应A股,特别是当A股股价处于历史高位时。此外,A+H股有很强的相关性,且随时间推移相关关系日益密切,近年来A股对H股影响显著增强。
This article studies the A + H cross-listed stock ups and downs spillover effect. Select the daily return data of A + H stock from January 1, 1997 to August 19, 2015 87 and do empirical research by calculating the correlation coefficient, historical return and Granger causality test, and conclude that H-share market A 15% rise in the stock will have a significant premium effect on the corresponding A shares; A 15% decrease in the H shares corresponds to a stock in the short term there is a certain risk of falling, to avoid buying a bargain-hunting counterparts, especially when the A shares in the history of the stock High time. In addition, A + H shares are highly relevant and the relationship has become increasingly close over time. In recent years, the impact of A shares on H shares has significantly increased.