上海證券交易所與香港聯合交易所於2014年11月17日啟動滬港通計劃，允許兩地投資者在本地交易所買賣對方市場的股票。本文試圖以漲跌幅限制之磁吸現象探討滬港通對上海股市的影響。文章延用Hsieh, Kim and Yang(2009)之Logit回歸，將參與滬股通之股票以換手率與市值區分，藉以檢測不同組合股票之磁吸現象。研究結果顯示，在樣本期間發現當較高市值股票漲幅達9.5%以上出現磁吸現象，當較低市值股票漲幅達9%以上出現冷卻現象。而兩種組合的股票跌幅達6%以上時均出現反轉效果。為比較滬港通前後之變化，本文加入虛擬變數以區分事件前後，研究結果顯示，滬港通啟動後較高市值股票跌幅達9.5%以上、較低市值股票漲幅達8%以上時出現磁吸現象，冷卻現象消失，可得知滬港通並沒有產生理性作用。本文發現已在兩地上市之A+H股的磁吸現象在滬港通啟動後消失，可推測資訊不對稱及交易規則讓A股的外國投資者無法選擇最佳策略，而雙重上市股票則可以讓其於價格觸發漲跌幅限制前調整交易策略。 / SSE and HKEX have provided Shanghai-Hong Kong Stock Connect since Nov. 17th, 2014, which allows investors in one market to trade shares listed on the other market through their local brokers. The article attempts to discuss the impact of Shanghai-Hong Kong Stock Connect on Shanghai stock market from the perspective of the magnet effect. Using a logit model proposed by Hsieh, Kim and Yang (2009), the thesis classifies the stocks as turnover rate and market capitalization, examining the magnet effect with different portfolios. The results demonstrate that the magnet effect appears as the price of large stocks increases 9.5% while the cool-off effect initiates as the price of small stocks decreases 9%. Reversal effect is found in both large and small stock when the decline of the price exceeds 6%. Moreover, a dummy variable is introduced in the regression to capture the difference made by the Connect. The evidence of magnet effect is shown respectively when the price of large stocks decreases 9.5% and when the price of small stocks decreases 8% after the Connect launched. Price limits fail to cool off the market. Therefore, the program may not rationalize Shanghai stock market. Due to the disappearance of magnet effect on A+H shares after the link between two markets, the thesis conjectures the program may provide an opportunity to switch to Hong Kong market before the price crosses the limit bound. However, information disadvantage and strict trading rules force foreign investors trading on A-shares to make suboptimal strategies.
| Identifer | oai:union.ndltd.org:CHENGCHI/G0103357039 |
| Creators | 黃璟然 |
| Publisher | 國立政治大學 |
| Source Sets | National Chengchi University Libraries |
| Language | 英文 |
| Detected Language | English |
| Type | text |
| Rights | Copyright © nccu library on behalf of the copyright holders |
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