关于分割股票市场间信息传递的过程研究

:2008211204:(06BJY011):(1978),,,:(1977),,,,:84()2008.8(4)VOL.8,NO.4200812JournalofNanjingAgriculturalUniversity(SocialSciencesEdition)Dec.,20081,2(1.,100125;2.,100084):(SVAR),BQFII:HS&P500AB,;QFII,ABAB;,AB,,,:;;:F830.91:A:16717465(2008)04001908,(InvestmentBarriers)(OwnershipRestriction),,,,,,[1],,;,ABH,FungLeeLeungAB,AB[2];AB[1,3-5]ABH,1998,2001B2002AQFII,,91,,[6-7],[8-9][10],,Chen9,[11]ABH,,19961,AB,(H)500(S&P500,S),(ReturnRate)(ReturnVolatility)(RradingVolume)1.A()B()A()B()(HIS,H)S&P500(),AB;HS&P5002.X,:log(X/X-1)=logX-logX-1ARA,BRB,HRSRHS&P500ADF,,11ABHS&PADFARshARszBRshBRszHRSRADF-38.48(0.00)-36.95(0.00)-34.71(0.00)-36.76(0.00)-37.83(0.00)-40.20(0.00)(c,0)(c,0)(c,0)(c,0)(c,0)(c,0):ADFP,,C,,SchwarzInforma2tionCriterion,GARCH(1,1)-Mean,,,ABHS&PAVBVHVSV,,0,2001219B,B;,2002121QFII,AAB,AB,BQFIIAB,:1996122001216;200121920021129;20021212007531,,,,[12],,,BlumeetalBernardo&Judd,02()81996122007531[10,13],,ABAB4,:,,2:Dum1Dum2,:Dum1=10,Dum2=10Rt,:Vt;Dum1Dum2;Tt-1,Dum1Tt-1Dum2Tt-1;Tt-1;Rt-1,:Rt=0+1Dum1+2Dum2+3Vt+4Dum1Tt-1+5Dum2Tt-1+6Tt-1+7Rt-1+t(1),:Rt=0+1+3Vt+(4+6)Tt-1+7Rt-1+t(2):Rt=0+2+3Vt+(5+6)Tt-1+7Rt-1+t(3):Rt=0+3Vt+6Tt-1+7Rt-1+t(4),456,345644,,124,ABAB,4,(SeeminglyUnrelatedRegres2sion,SUR),SURGLS22t.-0.7244313330.269554-2.6875190.0072V0.1664123330.0540093.0812030.0021Tt-1Dum1-0.0167420.056797-0.2947610.7682Tt-1Dum2-0.0661260.079814-0.8284960.4074Tt-10.032935330.0167551.9656630.0494A-Dum10.2336370.8862480.2636250.7921B-Dum10.1235470.6759560.1827730.8550A-Dum10.3810320.9128080.4174290.6764B-Dum10.2649480.6825280.3881860.6979A-Dum20.9257451.2541460.7381470.4604B-Dum20.7684231.0427530.7369170.4612A-Dum21.0279811.2549450.8191450.4127B-Dum20.8912841.0253960.8692100.3848Rt-10.0841643330.0235513.5737420.0004:33333310%5%1%124,:2,(^4+^6=0.016),(^5+^6=-0.033),0.038,5%0,2001,;,BAB,B,,,BB,,B;,QFII,AB,,AB,,,,,AB,H,,S&P500AB,(SVAR),SVAR1.SVAR,,SVARVARVAR,,,SVAR,SVAR:Byt=0+1yt-1++pyt-p+t(5),yt-pp(p=0,1,),t(5),:yt=a0+A1yt-1++Apyt-p+t(6)t,(5)(6),:t=B-1t,(6),tt,,SVAR3SVARBARATBRBTHRHTSRSTAVBVHVSVAR1NANA0NA000000AT010NA0NA00NA000BRNA01NANA0000000BT0NA010NA000NA00HRNA0NA01NANA00000HT0NA0NA010NA00NA0SR0000NA01NA0000ST00000NA01000NAAVNA00000001NA00BV00NA00000NA100HV0000NA000001NASV000000NA000NA1SVARABHS&P50012,AIC,5VAR,B,,B,B3,12121,,0,NA,ATAR22()8NA,AAAABBHHS&P500S&P500ABHS&P500,,,,,B:1:ABHS&P500,,,,,,:2:,ABH;,,HS&P500,,,,,:3:4:,ABHS&P500,B,HAB,AB,,2.B,B-1(7),(VMA)VMA:yt=€yt+i=0it-i(8)t,ii,i=0iGranger,,,20017H,20011082007531SVAR,QDII,:200110820021129,1,20021222007531,2(1)AB1,AB,,AB,AB,,AB,BAAB,AB,2001BBA200212QFII,AB,,AB324,:12:ARA,BRB1AB(2)ABHS&P500HS&P500AB2,2HS&P500AB,HS&P500AB,HAB,S&P5001,2,12:12HR,SR2HS&P500AB(3)AB,,,,,:,,(3),2,AB,1,QFII,,,3,HAB,S&P500AB,QFII,ABS&P500S&P500AB,AB,,,AB42()812:12AVA;BVB;HV;SV3AB3.AB,BQFIISVAR,AB,AB,ABH,,,,QFII,ABHS&P500,AB,,QFII,,AB,AB,,,:QFIIAB,QFII,B,ABH,HS&P500ABAB,,AB,,,,QFII,,,,:[1],,AB[J],2000(5):15-19.[2]HungGayFung,WaiLee,WaiKinLeung.SegmentationoftheA-andB-ShareChineseEquityMarkets[J].TheJournalofFinancialResearch,Vol,XXIII,No.2,Summer,2000:179-195[3]ChenGM,LeeBong-Soo.ForeignOwnershiprestric2tionsandmarketsegmentationinchinasstockmarkets[J].TheJournalofFinancialResearchVol.xxiv,no.1,2001(Spring):133-155[4]ZhangYimin,ZhaoRonald.TheValuationDifferentialbe2tweenClassAandBShares:CountryRiskintheChineseStockMarket[J],JournalofInternationalFinancialMan2agementandAccounting,2004(1):44-59.524,:[5],,.AB[J].,2005(6):24-28.[6]ChakravartyS,SarkarA,WuLF.InformationAsymme2try,MarketSegmentationandPricingofCross-listedShares:TheoryandEvidencefromChineseAandBshares[C].Workingpaper,PurdueUniversity,1998.[7]ChuiA,etcl.Cross-autocorrelationBetweenASharesandBSharesintheChineseStockMarket[J].JournalofFinancialResearch,1998(21):33-353.[8]AndersonTG.ReturnVolatilityandTradingVolume:AnInformationFlowInterpretationofStochasticVolatility[J].JournalofFinance,1996(51):169-204.[9]LeeBongSoo,RuiOliverM.DynamicRelationshipBe2tweenStockReturnandTradingVolume:DomesticandCrossCountryEvidence[J].JournalofBankingandFi2nance,2001,26(1):51-78.[10]BlumeL,EasleyD.OHaraM.MarketStatisticsandTechnicalAnalysis:TheRoleofVolume[J].JournalofFinance,1994(49):153$181.[11]ChenGonmengMichaelFirth,RuiOliverM.TheDy2namicRelationbetweenStockReturns,TradingVolumeandVolatility[J].TheFinancialReview,2001(38):153-174.[12]MattiSuominen,TradingVolumeandInformationReve2lationinStockMarkets[J].JournalofFinancialandQuantitativeAnalysis,2001,36(4):546-565.[13]BernardoAE,JuddKL.VolumeandPriceFormationinanAssetTradingModelwithAsymmetricInformation.Mimeo,Univ.ofCaliforniaatLosAngelesandStanfordUniv.,1999.(:)OntheProcessofInformationTransmissionBetweenSegmentedStockMarketsLIUYaOqing1,WANGJun2(1.DagongGlobalCreditRatingCo.Ltd,Beijing100125,China;2.SchoolofPublicPolicy&Management,TsinghuaUniversity,Beijing100084,China)Abstract:ThepaperdealtwiththeprocessofinformationtransmissionbetweensegmentedstockmarketsathomeandabroadwithSVARmodel.ItespeciallyanalyzedtheimpactontheinformationtransmissionafterShareBwasopenedtodomestictradersandQFIIwascarriedout.Theresul