| Summary: | 碩士 === 國立成功大學 === 財務金融研究所碩士在職專班 === 102 === This paper examines the price discovery of six China listed companies in Shanghai, Hong Kong, and New York stock exchange with Engle and Granger’s (1987) Vector Error Correction Model and Sims’ (1980) Vector Autoregression Model, VAR.
The research result shows a long-term stable equilibrium among the three exchanges. According to the empirical tests of Vector Error Correction Model, the price discoveries in Shanghai exchange, except for Yanzhou Coal Mining Company, are higher than those in the other exchanges. In respect to the prices in Hong Kong and New York stock exchanges, they make bi-directional contribution to the long-term equilibrium price.
With regard to short-term relationship, both Vector Autoregression model and Granger causality reveal that Shanghai and Hong Kong exchanges take the lead in price discovery. Impulse response function also shows that when compared with the exchanges in New York, the exchanges in Shanghai and Hong Kong have shorter span of time for information delivery and faster reaction dealing with short-term information disturbance.
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