| 摘要(英) |
This thesis uses the net trading flow of Shenzhen-China Stock Connect, Shanghai-Hong Kong Stock Connect and Hong Kong Stock Connect during the period from December 5, 2016 to March 6, 2020, with a total of 2,880 daily data, and the lagged value of the Index of A shares of Shanghai Stock Exchange, the Hong Kong Hang Seng Index, and the Shenzhen A-share Index to study the association of stock index returns and the trading activities of Stock Connect. Regarding the test of stationarity for series of the net north-south trading volume of Shenzhen Stock Connect, Shanghai Stock Connect and Hong Kong Stock Connect with a single root test. Buy Chao, Shanghai to Hong Kong Net Buy Chao and Shenzhen to Hong Kong Net Buy Chao, we find that p-value is less than 0.05, therefore, we can reject the null hypothesis of I(1) series, and conclude that the above trading flows are stationary. Next, the results of the multiple regression models show that: (1) From the perspective of the north-bound (Shanghai Stock Connect) transaction, the regression coefficients of the Hong Kong Hang Seng Index return, the Shanghai A-share index trading volume, the Shenzhen A-share index trading volume and the Shanghai Stock Connect northbound net buying excess are the most significant; (2) Regarding the north-bound (Shenzhen Stock Connect) trading, the coefficients of Hong Kong Hang Seng Index Return, Shanghai A-share Index Trading Volume and Shenzhen Stock Connect Northbound Net Buying Overweight are the most significant; (3) Regarding the south-bound (Hong Kong Stock Connect) transaction, coefficients of the Shanghai A-share index turnover, Shenzhen A-share return rate and Hong Kong Stock Connect (Shanghai to Hong Kong) are the most significant; (4) Regarding the south-bound (Hong Kong Stock Connect) trading activities, the trading volume of the Shanghai A-share index, coefficients of Shenzhen A-share index and the Shenzhen Stock Connect (Shenzhen to Hong Kong) are the most significant. |
| 參考文獻 |
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