双重上市公司A+H股价格市场间联动关系研究——A+H综合指数的编制与实证研究
Study on the Comovement Effect between Securities Markets of A+H Dual-listing Company: By computing and empirical applying A+H Composite Index
在当前金融全球化的背景下，双重上市公司担当了市场间相互联动的重要桥梁之一。本文根据A+H双重上市公司的收盘价编制出一套A+H综合指数，并在此基础上对中国内地证券市场与香港证券市场间的联动关系进行分析。研究结果表明，2005年以后两地证券市场的联动关系增强，形成了长期协整关系。研究同时发现，香港证券市场的股价对内地市场存在导向作用，中国内地证券市场对香港证券市场的影响力度有增大趋势。
Under the circumstance of financial globalization, dual-listing companies play an important role on connecting securities markets. Based on A+H Composite Index computed by AH dual-listing companies’ price, this paper studies the comovement effect between the Chinese mainland securities market and the Hong Kong securities market. The empirical results indicate that co-integration exists in the two markets since 2005 and the co-movement has been strengthened. This paper also finds that the stock prices of the Hong Kong securities market is leading the prices in the Chinese mainland securities market, and the Chinese mainland securities market has an improving influence on the Hong Kong securities markets.
谢赤、陈君兰
财政、金融
双重上市联动+H综合指数
dual-listing companycomovementA+H Composite Index
谢赤,陈君兰.双重上市公司A+H股价格市场间联动关系研究——A+H综合指数的编制与实证研究[EB/OL].(2009-03-24)[2025-08-18].http://www.paper.edu.cn/releasepaper/content/200903-909.点此复制
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