【摘要】 两岸金融开放政策作为我国大陆与台湾之间金融市场联接的必要途径,已在两岸之间有了广泛的共识和实践,对我国两岸金融市场都产生了冲击和影响。作为资金流动频繁且对多种经济因素冲击反应敏感的股票市场来说,两岸金融开放政策的提出,意味着两岸承受资本市场的挑战。主要研究两岸金融开放政策的实施对两岸股票市场收益率波动的影响效果,并进行理论和实证分析。以2007年1月到2017年8月关于两岸股票市场的交易数据为研究对象,分别对三大收益率序列进行ADF和LM检验分析,再运用三大收益序列相对应的GARCH模型对数据进行研究,进而验证两岸金融开放政策对两岸股票市场整体收益波动的影响效果。最后,从金融市场学说和我国两岸经济发展实况等方面对实证结果进行说明和分析,并从股票市场化改革、两岸市场准入和两岸金融开放层次等方面提出相关政策建议。更多还原

【Abstract】 As a necessary way to link the financial market between the mainland and Taiwan,the cross-strait financial opening policy has been widely recognized and practiced on both sides of the Taiwan straits,which has impacted and affected the financial market on both sides of the Taiwan straits.As a stock market with frequent capital flows and sensitive to the impact of various economic factors,the proposal of cross-strait financial opening policy will mean the challenge of capital market between the two sides.This paper mainly studies the effect of the implementation of cross-strait financial opening policy on the yield volatility of stock market on both sides of the straits,and conducts theoretical and empirical analysis.Taking the trading data of the stock markets on both sides of the straits from January 2007 to August 2017 as the research object,ADF and LM test analysis were respectively carried out for the three yield sequences,and then the data was studied by using the corresponding GARCH model of the three yield sequences,so as to verify the effect of cross-strait financial opening policy on the overall yield volatility of the stock market on both sides.Finally,this paper explains and analyzes the empirical results from the perspectives of the financial market theory and the economic development on both sides of the Taiwan straits,and puts forward relevant policy suggestions from the aspects of stock market reform,cross-strait market access and cross-strait financial opening.更多还原