深、港股市相关性与风险溢出效应研究——基于深港通实施前后

Research on the Correlation and Risk Spillover Effects of Shenzhen and Hong Kong Stock Markets—Based on before and after the Implementation of Shenzhen-Hong Kong Stock Connect

摘要: “深港通”的实施促进了内地与香港市场的互联互通，但同时也会引发一系列风险，这为市场的投资、监管等方面带来一定的挑战。本文基于“深港通”的实施，运用GARCH-Copula-CoVaR模型，对深港通实施前后深港股市间的相关性及风险溢出效应进行研究分析。利用GARCH (1, 1)模型刻画两地股票市场收益率的边缘分布，建立Copula模型描述两市场的相关关系，进一步计算CoVaR值分析风险溢出效应。结果表明，深港通实施后增加了两市场的相关性，与此同时，相应的双向风险溢出也发生了变化，存在非对称效应，且港市对深市的风险溢出均高于深市对港市的风险溢出。

Abstract: The implementation of “Shenzhen-Hong Kong Stock Connect” has promoted the interconnection between the mainland and Hong Kong markets, but it will also cause a series of risks and bring certain challenges to market investment and supervision. This article is based on the implementation of Shenzhen-Hong Kong Stock Connect, using the GARCH-Copula-CoVaR model, a comparative analysis of the correlation and risk spillover effects between the Shenzhen-Hong Kong stock market before and after the implementation of Shenzhen-Hong Kong Stock Connect. The GARCH (1, 1) model is used to describe the marginal distribution of the return rates of the two stock markets, a Copula model is established to describe the correlation between the two markets, and the CoVaR value is furtherly calculate to analyze the risk spillover effect. The results show that the implementation of Shenzhen-Hong Kong Stock Connect has increased the correlation between the two markets. At the same time, the corresponding two-way risk spillover has also changed, and there is an asymmetric effect, and the risk spillover of the Hong Kong market to the Shenzhen market is higher than the risk spillover of the Shenzhen market to the Hong Kong market.