| 摘要: | 本文選取深股通、滬股通以及港股通從2016年12月5日到2020年3月6日南北向的淨買超總交易量，共計2,880筆日資料，與上海證券交易所A股指數、香港恆生指數以及深圳A股指數的前一營業日報酬率以及總成交量進行關聯性分析。本文首先以單根檢定檢驗深股通、滬股通以及港股通的南北向的淨買超總交易量之定態性(stationarity)，結果顯示香港對上海北向淨買超、香港對深圳北向淨買超、上海對香港南向淨買超及深圳對香港南向淨買超，所對應的p-value小於0.05，因此我們可以拒絕變數為I(1)數列的虛無假說，確認上述的淨買超總交易量皆為定態數列。我們接著使用多元線性迴歸模型分析南北向資金流量與三地股市報酬率之關聯性，估計結果顯示:(1)以北向(滬股通)的交易面來看，發現香港恆生指數報酬率、上證A股指數成交量、深圳A股指數成交量與滬股通北向淨買超量的迴歸係數最為顯著；(2)以北向(深股通)的交易面來看，發現香港恆生指數報酬率、上證A股指數成交量與深股通北向淨買超量的迴歸係數最為顯著;(3)以南向(港股通)的交易面來看上證A股指數成交量、深圳A股報酬率與港股通(上海對香港)迴歸係數最為顯著；(4)以南向(港股通)的交易面來看上證A股指數成交量、深圳A股指數成交量與港股通(深圳對香港)迴歸係數最為顯著。;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. |
