| Summary: | 碩士 === 東海大學 === 管理碩士在職專班 === 97 === In this paper, we adopted the companies published A shares in China and dual-listed H shares in Hong Kong as examples to investigate the relationships between the China and Hong Kong stock markets. One of the features in our analysis is to study whether the structure breaks, that the China anthority allows QFII could directly purchase A shares and implement more flexible RMB exchange rate mechanism, affect the dynamics of the stock markets of China and Hong Kong. Empirical results demonstrate that the removal of restrictions on foreign investment and implementing more flexible exchange rate policy has been extremely helpful in raising the information transmissions between A shares and H shares. Further research finds that these policies changes did significantly increase the influence of H shares on A shares, whereas the influence of A shares to H shares has been reduced. From the analysis of impulse response, we find that A shares and H shares are positively affected by themselves in the previous period. H shares market is sensitive to A shares market in the beginning. The impact of market information from A shares to H shares is gradually increasing and then gradually decreasing. Overall, our results confirm A shares plays the more dominant role of information transmissions on H shares. Regarding the results of forecast variance decomposition, although the variance of A shares and H shares are highly explained by their previous information, respectively, however, the variance of A shares is more evidently explained by itself than that of H shares.
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