摘要随着2014年11月17日“沪港通”的实施，标志着我国的资本市场开启了新的篇章，我国的资本市场正式开始与国际对接。在这一过程中，面对境外发展程度较为完善的资本市场，境内外资本市场制度、规则必然存在差异，我国的股市必将面对一系列的挑战与调整。因此，这一次对接的动作将如何以及在何种程度上引领我国金融市场的开放的研究具有重要的理论意义和实践价值。本文重点研究“沪港通”开通前后市场效率的变化情况，论文在收集“沪港通”开通前后上证指数的历史数据并作出一定整理之后，深入量化分析了“沪港通”开通前后沪股市场效率的变化情况，探索了“沪港通”对于沪股市场效率的影响，提出了提高市场效率的措施。73653

毕业论文关键词  沪港通 沪股市场 市场效率 

毕 业 论 文 外 文 摘 要

Title  The research on the efficiency of Shanghai Stock Exchange - the analysis based on pre- and post- commencement of Shanghai-Hong Kong Stock Connect Program                   

Abstract With the commencement of Shanghai-Hong Kong Stock Connect Program on 17th November 2014, Chinese capital market, which formally sets out to connect to the international capital market, is on the threshold of a new era。 During the process, since the foreign capital markets are more mature, it is out of question that there exists the difference of rules and system between the domestic and foreign markets and Chinese stock market is bound to face a series of challenges and adjustments。 Thus, how and to what extent this action would lead the research on the openness of Chinese capital market are of great importance on both the theoretical and practical level。 This thesis mainly studies the variance of market efficiency before and after the commencement of Shanghai-Hong Kong Stock Connect Program。 After collecting and consolidating the data on SSE(Shanghai Stock Exchange) Composite Index before and after the Program, the thesis analyzes the change of market efficiency of SSE in a measurable way in order to explore the influence of the program to the market efficiency of SSE and suggests the measures to improve the market efficiency。   

Keywords  Shanghai-Hong Kong Stock Connect Program   Shanghai Stock Exchange  Market Efficiency

目   次

1 引言 1

1。1研究背景及意义 1

1。2研究思路及主要内容 2

2 相关概念和文献综述 4

2。1“沪港通”的概念 4

2。2“市场效率”的内涵 4

2。3文献综述 5

3 “沪港通”开通前后沪股市场效率变化的理论分析 8

3。1“沪港通”开通前后股市情况 8

3。2“沪港通”对市场影响的理论分析 9

4 “沪港通”开通前后沪股市场效率变化的实证分析 11

4。1模型构建 11

4。2变量选取与数据来源 12

4。3实证分析 13

4。3实证结论 20

5 结论与建议 21

5。1结论 21