A+H交叉上市股票间信息传递的不对称性研究

18320106ChineseJournalofManagementScienceVol.18,No.3June,2010:1003-207(2010)03-0010-07A+H交叉上市股票间信息传递的不对称性研究郭彦峰1,黄登仕1,魏宇1,林宇2(1西南交通大学经济管理学院,四川成都610031;2成都理工大学商学院,四川成都610059):HAH,2003120094HH,GrangerGARCH:HH,HH,,;HH,A:H;H;GARCH;;:F83091:A:2009-06-22;:2010-04-12:(70501025,70771095,70771097);(NCET-08-0826);(PCSIRT0860):(1972-),(),,,:.1,HAH,,,HH,2004713A,QDII(QualifiedDomesticInstitutionalInvestors,)2006529,,,,,,AH,HAHPoonFung(2000)[1]EGARCHM,H,,,,,H;,,H,H,,Li(2000)[2]AH,A(H)H(A),,AH,HA;,Yang(2003)[3]AB,HGranger,HB,BAB,,AB,AZhu(2004)[4],19932001Granger,,,,WangJiang(2004)[5]Granger,16AH19961220019,AH,HA,AHGrangerChongSu(2006)[6]AH21(Comovement),,,,(2007)[7]HA,,,,(),,;,,(2008)[8]A+H,,GARCHAH,:AH;H;,HA(2009)[9]Hasbrouck(1995),A+HAH,,:AH,AH;AH,,,,(),((2003)[10]);,AH,AHH,;,2003122009430HH,(VectorAutoregressionsModel,VAR)GrangerGARCH(DynamicConditionalCorrelationBivariateGARCH,DCCBVGARCH),HAH,:(1),BEKK,,,GARCH,,(Bauwens(2006)[11]),(2),,(3),,(4),HH,,HH,,,A,221H(,)H,HH113:A+H,;H,,H,,HAH199488,H200312,2003122009430,,,,,,1462,,,,H,12HH(),,,200711,H,H,20057;200711,HH,(),,,R1R2,1H1HH1,HH(),HH,HH2H3,HH,HH,JBHHLjungBox,,,ARCH1HHR1R200009000050000600005-00245-003959278559110JB23997923***5162652***Q(12)230700**296400***Q2(12)12820000***3904000***:JBJarque-Bera,Q(12)LjungBox()Q,Q2(12)Q,***1%,**5%,22HH,(VAR)GrangerHH,,,,HH,(VAR):R1,t=10+pi=111(i)R1,t-i+pi=112(i)R2,t-i+1,t(1)R2,t=20+pi=121(i)R1,t-i+pi=122(i)R2,t-i+2,t(2)122010t=1,t2,t~N(0,t|t-1)(3),t=h1,th12,th21,th2,t,t-1t-1,R1H,R2H,11(i)21(i)12(i)22(i),p,1,t2,t,(1),12(i),HHGranger;(2),21(i),HHGrangerEngle(2002)[12](DynamicConditionalCorrelation,DCC)GARCH(BivariateGARCH),DCC-BV-GARCH,HH((1)(2)),VARMA,:Hii(t)=cii+jijj(t-1)2+jijHjj(t-1)(4),:h1,t=c1+a1121,t-1+a1222,t-1+b11h1,t-1+b12h2,t-1(5)h2,t=c2+a2121,t-1+a2222,t-1+b21h1,t-1+b22h2,t-1(6)q12,t=q12,t(1-a-b)+aq12,t-1+b1,t-1h1,t-12,t-1h2,t-1(7)():12,t=q12,th1,th2,t(8),h1,t=Var(1,t|t-1)t-1,H;h2,t=Var(2,t|t-1)t-1,H;q12,tt-1,HH,;q12,t;12,t,()c1c2h1,th2,t;a11HH,ARCH;a12HH,ARCH;a21HH,ARCH;a22HH,ARCH;b11HH,GARCH;b12HH,GARCH;b21HH,GARCH;b22HH,GARCH,a12a21b12b21HHGrangerEviews,BFGS,RATS,33.1Granger,HHGranger,VARAIC,1,22(Chi-sq),1%,R1R2,R2R1,,HH,HH,HH,,,2HHChisqR1R231.77730.0000R2R12.14800.1428133:A+H3.2GARCH,,a21b21a12b12,H(H)H(H)(,),ab3GARCH,a12a211%5%,b12b21,HH,HH,(a12=0.0562,a21=0.0390),HHa12a21,HH,,a11a22b11b22,b11b2211,,H3GARCHR1R2ci6.53E-06***6.62E-06***[3.94][3.13]ai10.0887***0.0390**[5.65][2.51]ai20.0562***0.0515***[2.61][3.98]bi10.9037***-0.0140[48.21][-0.66]bi2-0.05450.9235***[-1.86][45.29]7521.9879:T,4,4,ab,,,DCCa=09712HH,b=00255,03864,,3HH,,2004,,5,QFII,,,QFII,,,1,4a0.9712***[107.93]b0.0255***[3.41]0.3864***[89.59]3HH45,,,(),,HH,3,,4H5H1420103.3,QQ2ARCH-LMDCC-BV-GARCH5DCC-BV-GARCH,,ARCHARCH,,,GARCH(meanequation),(varianceequation),,GARCHGARCH,GARCH(),,EngleNg(1993)[13]SB(SignBias)NSB(NegativeSizeBiasTest)PSB(PositiveSizeBiasTest),5R1R2Q(12)8.9964(0.70)14.5118(0.07)Q2(12)8.2651(0.76)8.2078(0.77)ARCHLM8.4722(0.75)7.7310(0.81):,HH,;HHHH,HH,,,;,,4,GrangerGARCHHAH:(1)HH;HH,(2)HH,,(3),,(QDII)(QualifiedForeignInstitutionalInvestors,QFII),,,Ross(1989)[14],,,,,,HH,(2009)[9],(2008)[8],A+H,,H;,H,H,:,,Li(2000)[2],HH,,HA,,HH,HH:(HomeBias),;(InternationalCenter),,(Huang(2004)[15]),HH,,,HH,;HH,153:A+H:[1]Poon,W.P.H.,Fung,H.G..RedchipsorHshares:WhichChinabackedsecuritiesprocessinformationthefastest?[J].JournalofMultinationalFinancialManagement,2000,10:315-343.[2]Li,Y.,Greco,J.F.,Chavis,B..LeadlagrelationsbetweenAsharesandHsharesintheChinesestockmarkets[R].WorkshopsattheCityUniversityofHong,2000.[3]Yang,J..MarketsegmentationandinformationasymmetryinChinesestockmarkets:AVARanalysis[J].TheFinancialReview,2003,4:591-609.[4]Zhu,H.,Lu,Z..WangS..CausallinkagesamongShanghai,Shenzhen,andHongKongstockmarkets[J].InternationalJournalofTheoreticalandAppliedFinance,2004,7:135-149.[5]Wang,S.S.,Jiang,L..Locationoftrade,ownershiprestrictions,andmarketillquidity:ExaminingChineseAandHshares[J].JournalofBankingandFinance,2004,6:1273-1297.[6]Chong,T.T.L.,Su,Q..OnthecomovementofAandHshares[J].TheChineseEconomy,2006,5:68-86.[7].[J].,2007,(6):24-31.[8],.A+H[J].,2008,(6):1080-1088.[9],.[J].,2009,17(2):21-28.[10],.AB[J].,2003,(10):37-52.[11]BauwensL.,Laurent,S.,Rombouts,J.K.V..MultivariateGARCHmodels:Asurvey[J].JournalofAppliedEconometrics,2006,21:79-109.[12]Engle,R.F..Dynamicconditionalcorrelation:AsimpleclassofmultivariateGARCHmodels[J].JournalofBusinessandEconomicStatistics,2002,3:339-350.[13]Engle,R.F.,Ng,V.K..Measuringandtestingtheimpactofnewsonvolatility[J].JournalofFinance,1993,48:1749-1778.[14]Ross,S.A..Informationandvolatility:TheNoArbitrageMartingaleapproachtotimingandresolutionirrelevancy[J].JournalofFinance,1989,1:1-17.[15]Huang,Y.C..Thecomponentsofbidaskspreadandtheirdeterminant:TAIEFXversusSGXDT[J].TheJournalofFuturesMarkets,2004,24(9):835-860.AStudyontheAsymmetricEffectofInformationTransmissionbetweentheAandHSharesCrosslistingStocksGUOYanfeng1,HUANGDengshi1,WEIYu1,LINYu2(1.SchoolofEconomicandManagement,SouthwestJiaoTongUniversity,Chengdu610031,China;2.Busi