沪港通对上海证券市场的影响分析

Analysis on the Influence of Shanghai-Hong Kong Stock Connect to Shanghai Stock Market

摘要: 沪港通对中国股市的影响一直倍受投资者关注，本文利用VAR模型的脉冲响应函数和方差分解、格兰杰因果检验、市场系统性风险结构的检验以及事件研究法研究沪港通对上海证券市场的影响，并对研究结果进行分析，得出结论沪港通对上海证券市场带来了一定的积极影响，但影响有限。

Abstract: Investors have paid a lot of attention to the effect of Shanghai-Hong Kong Stock Connect to Chinese stock market. In this article, we will analyze the effect using Impulse Response Function and Va-riance Decompositions in a VAR model, Granger Causality Test, structure of market Systematic Risk and Event Study Method. We conclude that Shanghai-Hong Kong Stock Connect has some positive effect on Shanghai stock market, but the effect is limited.