摘 要

2020年6月17日，“沪伦通”开通，标志着我国股票市场跨国互联互通的首次尝试正式开启，并且代表了我国股票市场的进一步的国际化。因此，本文从中国股市国家化历年进程入手，以“沪伦通”为代表，分析现况下中国股票市场国家化发展面对的挑战与机遇。

首先，本文对中英股市的现况进行了研究。中国股票市场主要从境内上市公司数量，境内上市公司流通市值两个方面进行了阐述。英国股票市场则从流通市场层次分布、上市公司情况两个方面进行了阐述。然后，对QDII、QFII和RQFII，“沪深港通”这几个阶段当时背景及发展情况进行了调查，随后“沪伦通”的提出历程以及运营模型进行了梳理，并采用VAR模型研究联动性的方法，使用EViews10.0软件进行序列平稳性检验、格兰杰因果检验、VAR模型分析脉冲响应分析以及方差分解分析，对“沪伦通”开通对中英股市股指的联动关系影响进行了研究。最后，结合前文各部分的研究结果对中国股票市场国际化可能面对挑战和机遇两个方面进行分析。

本文发现，中国股票市场的国际化进程是逐步增加的，从QDII、QFII、RQFII的引入和流出投资资金，到沪港通、深港通的尝试，再到”沪伦通“的开通，都为我国股票市场国际化奠定了基础。“沪伦通”作为我国股票市场国际化的又一新尝试，从本文分析可以发现其开通对中英股市的联动性起到了一定的增强作用，但联动性依然有限。在“沪伦通”开通的背景下，我认为我国股票市场国际化面临的挑战与机遇如下。新机制为我国投资者提供新型投资工具，分散风险。并且实行初期的有限联动性能减轻股市波动带来的风险的同时，也能反向促进我国股票市场进一步完善和开放。但同时也要注意，“沪伦通”开通后，我国股票市场面临着更大的汇率风险、信息不对称风险以及未来联动性增强带来冲击增加的可能。因此我国股票市场开放仍旧需要保持着谨慎态度，严格控制，积极改进建设互联互通渠道。

关键词：股市联动性；格兰杰因果检验；沪伦通；国际化

Abstract

On June 17,2020, "Shanghai-London connect" was opened, which marked the first attempt of cross-border stock market interconnection, and represented the further internationalization of China's stock market. Therefore, this paper starts with the process of China's stock market nationalization over the years, and takes "Shanghai-London connect" as the representative to analyze the challenges and opportunities of China's stock market nationalization under the current situation.

First of all, this paper studies the current situation of the Chinese and British stock markets. China's stock market mainly from the number of domestic listed companies, domestic listed companies circulation market value two aspects were elaborated. The British stock market from the circulation market level distribution, listed company situation two aspects have carried on the elaboration. Then, the background and development of QDII, QFII and RQFII, Shanghai-Shenzhen-Hong Kong stock connect at that time were investigated. Subsequently, the presentation process and operation model of Shanghai-London connect were sorted out, and the method of linkage was studied by Var model, using EVIEWS10.0 software to test the stability of sequence, Granger causality test, Var model analysis impulse response analysis and variance decomposition analysis, this paper studies the impact of the launch of "Shanghai-London connect" on the linkage relationship between Chinese and British stock market indexes. Finally, combined with the results of the previous parts of the study on the internationalization of China's stock market may face challenges and opportunities are analyzed.

This paper finds that the internationalization process of China's stock market is increasing gradually, from the introduction and outflow of investment funds of QDII, QFII and RQFII to the attempts of Shanghai-Hong Kong stock connect and Shenzhen-Hong Kong stock connect, then to "Shanghai-London connect" the opening of China's stock market internationalization has laid the foundation. As a new attempt to internationalize China's stock market, the analysis of this paper shows that the joint stock market of China and Britain has been enhanced to a certain extent, but the joint stock market is still limited. Under the background of "Shanghai-London connect" , I think the challenges and opportunities of China's stock market internationalization are as follows. The new mechanism provides a new type of investment tool for Chinese investors and disperses the risk. And the implementation of the initial limited linkage can reduce the risk of stock market volatility, but also can reverse the promotion of China's stock market to further improve and open. However, it should also be noted that after the launch of the "shanghai-shanghai stock connect" , China's stock market is facing greater exchange rate risk, Information asymmetry risk and the possibility of increasing shocks due to the increased linkage in the future. Therefore, China's stock market opening still needs to maintain a cautious attitude, strict control, and actively improve the construction of interconnected channels.

Key words: Stock market linkage; Granger causality test; Shanghai-London stock connect；Internationalization

目录

第1章 绪论 7

1.1 问题的提出及选题意义 7

1.2 文献综述 7

1.3论文研究的内容与方法 7

1.3.1基本内容： 7

1.3.2 技术方案： 8

第2章 中英股市发展历程 8

2.1 中国股票市场现状 8

2.1.1 上海证券交易所以及深圳证券交易所境内上市公司数量 8

2.1.2 境内上市公司流通市值 9

2.2英国股票市场基本情况 10

2.2.1 流通市场层次分布 10

2.2.2上市公司数量变化 11

第3章 “沪伦通”开通前我国股票市场的国际化进程 12

3.1.QDII以及QFII的情况概述 12

3.1.1 QDII 12

3.1.2. QFII 13

3.1.3 RQFII 14

3.2.“沪港通”与“深港通” 15

3.2.1沪港通 15

3.2.2深港通 15

3.3 “沪伦通”开通前我国股票市场国际化进程特点 16

第4章“沪伦通”背景与开通前后变化分析 16

4.1 “沪伦通”的提出及运行机制 16

4.1.1 “沪伦通”的提出 16

4.1.2 运行机制 17

4.2 “沪伦通”开通前后对两市的联动性影响分析 17

4.2.1 研究方法 17

4.2.2 序列平稳性检验 18

4.2.3 格兰杰因果关系检验 19

4.2.4 VAR模型 20

4.2.5 方差分解分析 23

第5章 股票市场国际化的挑战与机遇分析 25

5.1挑战分析 25

5.2 机遇分析 26

结论 28

参考文献 29

附录：原始数据 52

第1章 绪论

1.1 问题的提出及选题意义

“沪伦通”开通，标志着我国股票市场跨国互联互通的首次尝试正式开启，并且代表了我国股票市场的进一步开放。因此，本文从中国股市国家化历年进程入手，以“沪伦通”为代表，分析现况下中国股票市场国家化发展面对的挑战与机遇。

1.2 文献综述