兩岸四地股市關聯性之研究

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Title:	兩岸四地股市關聯性之研究
Other Titles:	A Study of the Relationships of Shanghai, Shenzhen, Hong Kong and Taiwan Stock Indices
Authors:	陳坤男 Chen, Kun-Nan
Contributors:	周瑛琪 Chou, Ying-Chyi 東海大學管理碩士在職專班
Keywords:	單根檢定、Granger因果檢定、衝擊反應分析、變??分解 Unit Root、Granger、Impulse response、Variance Dcomposition
Date:	2010
Issue Date:	2011-01-19T03:22:49Z (UTC)
Abstract:	本研究係探討兩岸四地股市報酬率間之關聯性，選取了台灣加權股價指數、香港恆生指數、上海B股及深圳B股股價指數報酬率做為研究對象。研究範圍為2005 年1月至2009年12 月之日報酬資料。本文旨在探討亞太地區的區域性整合研究，且從Chiwan、ECFA到MOU，都在在的顯示兩岸的貿易愈趨頻繁及直接，進而嘗試發現兩岸四地 (台灣、香港、上海及深圳) 在亞太地區的金融主導地位。文中運用ADF、PP、KPSS三種檢定法進行資料定態分析之單根檢定，再利用VAR模型、Granger因果檢定、衝擊反應分析、預測誤差變異數分解來探討兩岸四地股市互動關係。由VAR模型分析顯示兩岸四地股市間存在著短期互動。而Granger因果關係實證發現：港股在大中華經濟區域的影響力大，領先於台灣股市之走勢。而上海B股及深圳B股則呈現雙向回饋關係。另由衝擊反應分析得知，香港股市為一較具有獨立性的股票市場；至於台灣股市，除受自身衝擊外，當其受到來自香港股市的衝擊時，反應很明顯，為一淺碟式經濟。最後，由預測誤差變異數分解的實證結果，觀察出台灣股市的波動很容易受香港股市及上海B股變異的影響，而香港股市在兩岸四地間對對其他三地有一定之解釋能力。綜合以上結論，得知香港股市的影響力最大，目前於兩岸四地間，最具有成為亞太金融中心之實力的金融主導地位。而台灣股市表現最為弱勢，若臺灣當局有心推展亞太金融中心之營運，勢必得加強研擬各項配套方案，提出有利吸引外資投入台灣金融暨證券市場之最佳政策，以增加台灣股市於國際間之競爭力。 This study investigates the relationship of the market rate of return for four locations. Samples were chosen from Taiwan weighted stock index, the Hang Seng Index in Hong Kong, Shanghai B shares, and Shenzhen B share price index rate of return. The data of this research was collected during the period between January, 2005 and December, 2009. The purpose of the presented research is to explore the regional integration of Asia-Pacific region, and from Chiwan, ECFA to the MOU, the display in the increasingly frequent cross-strait trade and direct, and then try to find four places (Taiwan, Hong Kong, Shanghai and Shenzhen) in Asia-Pacific's financial dominance. This research uses the ADF, PP, and KPSS test to perform three types of steady state analysis of the data unit root test. And then using VAR models, Granger causality test, impulse response analysis, forecast error variance decomposition of the future interaction between the stock market four places. The result of VAR model analysis showed that at four different locations, there were short-term interaction between the stock market. The Granger causality Demonstration: Hong Kong stocks in the Greater China economic region of great influence, ahead of the trend of the Taiwan Stock Market. The Shanghai B shares and Shenzhen B shares were showing a two-way feedback relationship. The other by the impulse response analysis showed that the Hong Kong stock market is a relatively independent of the stock market. The Taiwan stock market, in addition to the impact by itself, the Hong Kong stock market when its subject from the impact, the response is clear, is a shallow economic. Finally, the forecast error variance decomposition of the empirical results, observed fluctuations in the Taiwan stock market is vulnerable to the Hong Kong stock market and the impact of variation Shanghai B shares and Hong Kong stock market in the Mainland, Taiwan, between pairs of the other three have some explanatory power. We concluded that the greatest influence on Hong Kong stock market, currently at four places, the most in the Asia Pacific financial center, the dominant position of financial strength. The stock market in Taiwan is a most vulnerable exchange place when compared with its neighboring exchanges such as Hong Kong, Shanghai B., ShenZhen B. Further, when the Taiwanese authorities are intended to promote the APAC as a financial center of operations, it brings challenges to. Specifically, authorities inevitably have to build and develop stronger supporting programs for the exchange place. It is also worth noticing that the intentions of the supporting programs are to attract and increase foreign investment in the securities market of Taiwan’s financial. Together with the best security policies that Taiwan has to offer, Taiwan stock market’s competiveness will be increased when looking at the International stage.
Appears in Collections:	[Executive Master of Business Administration ] Master's Theses

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