The relationship between stock market and economic growth in Great China area during the subprime mortgage crisis

• Main Authors: Ching-Fong Fang, 方慶豐
• Other Authors: Yu-Shan Wang
• Format: Others
• Language: zh-TW
• Published: 2010
• Online Access: http://ndltd.ncl.edu.tw/handle/01443021697109997684

碩士 === 國立高雄第一科技大學 === 金融所 === 99 === Abstract The financial crisis that broke out in the United States had caused the global economy panic during 2007. The world’s central banks cut the interest rates in hurry to against the overwhelming economy depression. Under the trend of liberalization of the economy, the linkage between the regional economic partnership and the stock market will become the mainstream in the global economy. Confronting the enormous market of Mainland China, Taiwan can strengthen the industrial division to increase the competitiveness under the peaceful relations across the Taiwan Straits. Besides, it’s worth to discuss the delicate relations across the Taiwan Straits in the global economy system. This thesis mainly focuses on the impulse response of the Taiwan''s weighted stock index, China Shanghai, Shenzhen AB shares, and the Hong Kong Hang Seng stock index during the financial crisis. According to the results, the lead-lag relationship among the stock markets of China, Taiwan, and Hong Kong can be deduced. This work analyses the stability of the time series and the long-run equilibrium relationship by the unit root test. Then the short-term dynamic analysis of error correction model, the vector autoregressive model, the Granger causality test, and the impulse response analysis are applied to discuss the dynamic relations among the stock markets of China, Taiwan, and Hong Kong. The results draw the following four conclusions. First, the relations among China, Taiwan as well as Hong Kong are closed and achieve steady state though the political and economic conditions of them are distinct and the capital market of China is under strictly control. Second, the influence of Shanghai stock market is more powerful than that of Shenzhen stock market because of Shanghai stock market’s better openness on information transmission and its’ larger market value. Third, the stock market of Hong Kong is independent of the others. Fourth, the capital markets of Taiwan and Hong Kong have better acceptability toward external information. Furthermore, the returns of Taiwan’s stock tend to be influenced by Hong Kong so that Taiwan and Hong Kong are not segmented markets. Key words: Impulse response, Financial crisis, Lead-lag relationship, Subprime mortgage, Vector autoregression