基于MRS-SJC-Copula模型对A股与港股的动态联动性研究

由于经济增长周期变化,导致不同股票市场存在高低状态转换的现象,在研究不同股票市场之间联动性的研究时,需要考虑股票波动均值和方差两种结构变化。基于具有马尔可夫状态转换的动态SJC-Copula,结合修正ICSS算法对我国内地股票市场和香港股票市场之间的联动性进行方差结构突变点的检验。实证结果表明:国内和香港股票市场之间存在非线性非对称的时变相依性,并持续存在高低两种不同状态的概率转换。股票指数由于动态联动受到负面消息的下跌幅度大于正面消息的变化幅度,且上下尾部均受上期信息的持续影响。“沪港通”、“深港通”、中美贸易战等因素使得其上下尾部发生结构突变,内地与香港股票市场的联动性增大和市场波动幅度趋强。

Study on the Dynamic Linkage of A-Shares and Hong Kong Stocks Based on MRS-SJC-Copula Model

This paper studies the linkage between different stock markets, which considers the structure changes of mean and variance due to the phenomenon of high and low volatility of stock markets in different economic growth cycles. Firstly, based on the dynamic SJC-Copula with Markov state transition, this paper measures the linkage between the mainland stock market and Hong Kong stock market. Then, using the modified ICSS algorithm tests the structural change points of the upper and lower tails. The empirical results show that there is a non-linear asymmetric time-varying dependence between domestic and Hong Kong stock markets and a probability transition between high and low states. The stock index is affected by the negative news more than the positive news because of the dynamic linkage, and the upper and lower tails are affected by the last information continually. “Shanghai-Hong Kong-Tong”, “Shenzhen-Hong Kong-Tong”, Sino-US trade war and other factors make the upper and lower tails have structural changes. The linkage between the mainland and Hong Kong stock markets has increased and the volatility of the markets has become stronger.