沪股通、深股通与沪深两市的股价波动
Shanghai-Hong Kong Stock Connect, Shenzhen-Hong Kong Stock Connect and Stock Price Fluctuations in the Shanghai and Shenzhen Stock Markets

2014年沪港通开通，2016年深港通开通，形成了香港资金流向大陆买卖上交所和深交所股票的“北上资金”。本文基于VAR模型，通过实证分析探究北上资金流动与沪深两市大盘指数涨跌的相互影响。结果表明，资金净流入与大盘指数涨跌幅存在相互因果关系，且短期看大盘指数对资金流动的影响更显著。基于此，文章提出优化沪深股通投资范围、加强信息披露监管与协调、完善跨境监管合作与协调机制的政策建议，以促进市场健康发展、提升透明度与公信力、防范金融风险，充分利用沪深股通的机制优势，完善国内金融市场。
Since the launch of Shanghai-Hong Kong Stock Connect in 2014 and Shenzhen-Hong Kong Stock Connect in 2016, “Northbound funds” have flowed from Hong Kong to the Chinese mainland to trade stocks on the Shanghai and Shenzhen stock exchanges. Based on the VAR model, this paper explores the interaction influence between the flow of Northbound funds and the fluctuations of the major market index in the Shanghai and Shenzhen stock markets through empirical analysis. The results show that a two-way causal relationship exists between the net capital inflow and the major market index changes. In the short run, the impact of the major market index on capital flow is more significant. Based on these findings, the paper proposes three policy recommendations: expanding the investment scope of Shanghai-Hong Kong and Shenzhen-Hong Kong Stock Connect, strengthening the regulation and coordination of information disclosure, and improving the cross-border regulatory cooperation mechanism. These aim to promote healthy market development, enhance market transparency and credibility, and prevent financial risks, making full use of the advantages of the Shanghai-Hong Kong and Shenzhen-Hong Kong Stock Connect mechanism to improve the domestic financial market.