THE RELATIONSHIPS OF STOCK RETURN BETWEEN TAIWAN AND CHINA

• Main Authors: Tsai-huan Hsieh, 謝彩環
• Other Authors: Ching-jun Hsu
• Format: Others
• Language: zh-TW
• Published: 2008
• Online Access: http://ndltd.ncl.edu.tw/handle/02122385006342452205

碩士 === 南華大學 === 財務金融學系財務管理碩士班 === 96 === 　　This research studies the stock market closing index of Taiwan, Shanghai B-share, Shenzhen B-share, and Hong Kong,and collects samples from April 1, 2001 to December 31, 2006. The Co-integration test is employed to validate the existence of long-term balanced co-integration relation among the above-mentioned stock markets. Furthermore, we apply the Granger causality test was applied to observe whether there is one-way or two-way feedback relationship between variables. The impulse response function of the vector autoregressive model and the forecast error variance decomposition are then used to discuss the reciprocal relationships among variables. 　　 　　The empirical results show that all four stock markets exhibit volatile fluctuations, and no co-integration relationship exists. There is one-way causality from Taiwan stock market to Shenzhen B-share, and from Hong Kong stock market to Shenzhen B-share. No significant relationship is observed between other stock markets. The impulse response function and forecast error variance decomposition show that Hong Kong stock market is more dependent; however, Taiwan stock market, under significant impact by Hong Kong stock market, is not affected by Shanghai B-share and Shenzhen B-share, and Hong Kong stock market has stronger effect on the other three stock markets.