A Linkage Analysis of Stock Price Indices in China, Hong Kong, and Taiwan
|關鍵字:||共整合;誤差修正模型;衝擊反應函數;預測誤差變異數分解;Cointegration;Vector Error Correction Model;Impulse Response;Variance Decomposition|
By applying various time series models, this paper investigates the dynamic interdependence of the major stock markets in the Chinese economic area (CEA). In order to avoid any structural change in the paper, the research period of this thesis is after Mainland China B share was open to mainland Chinese nationalities. Stock indices of Shanghai A and B shares, Shenzhen A and B shares, Taiwan, and Hong Kong are reasearch objects in this research. The dataset consists of end-of-day stock price indices during the priod from March 1, 2001 to December 30, 2005. Our major empirical findings are as follows: (1) According to the Johansen cointegration test, stock markets of China, Hong Kong, and Taiwan are mutually linked to have a long-run equilibrium relationship. (2) According to VECM model analysis, the three stock markets have different short-term relations. Shanghai B and Shenzhen B shares have the strongest influences on the other stock markets. (3) According to the Granger causality test, we conclude that Hong Kong stock index is the leading index among the three areas. (4) From the impulse-response analysis, Taiwan stock market is an independent market which does not response to the shock raised from other markets. Stock market of China is relatively closed. Hong Kong stock market has faster information transmission, making it a more efficient stock market. (5) The variance decomposition analysis that the stock indices of Hong Kong, Taiwan, Shanghai A and B shares are explained mostly by themselves. However, Shenzhen A and B shares are explained mostly by Shanghai A and B shares. Thus, the Shanghai stock market has a very deep impact on the Shenzhen stock market.
|Appears in Collections:||Thesis|