A study on the co-movement the Stock Indices of Great China Region

• Main Authors: Sheng-Kai Hsu, 許勝凱
• Other Authors: Chin-Sheng Hanug
• Format: Others
• Language: zh-TW
• Published: 2012
• Online Access: http://ndltd.ncl.edu.tw/handle/77609057100473974198

碩士 === 國立雲林科技大學 === 財務金融系碩士班 === 100 === This research mainly studies the market co-movement among the Great China region, including Taiwan stock exchange index,Taiwan GreTai index, Hong Kong Heng sheng index, the mainland China Shenzhen composite index as well as Shanghai composite index. The research sample covers the ten-year period,January 1, 2002 to December 30, 2011,of 2306 daily closing prices.Granger causality test and vector auto-regression model are employed to investigate the correlation among the markets.This research uncovers the following main findings:(1)Each individual index exhibits non-stationary property with significant unit root; (2)Johansen co-integration test confirms at least one long-term co-integration relation established among markets;(3)Taiwan GreTai index, Hong Kong, Hengsheng index,Shanghai composite index ,Shenzhen composite index can impact on the Taiwan stock index;mean while the Taiwan stock index can affect Taiwan GreTai index and the Hong Kong Hengsheng index; the Hong Kong Hengsheng index can Granger-cause the Taiwan stock index, Taiwan GreTai index, Shanghai composite index and Shenzhen composite index.(4)Impulse response analysis and variance decomposition indicate that each individual index display greater impact on its own residual variance than other markets,and the nearer periods also show higher influence than the farther periods.