The Price Discovery of China Listed Company in Three Different Exchanges

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...

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Main Authors: Yin-YuTai, 戴吟羽
Other Authors: Ming-Yuan Li
Format: Others
Language:zh-TW
Published: 2014
Online Access:http://ndltd.ncl.edu.tw/handle/54933571985622879510
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spelling ndltd-TW-102NCKU53040102016-05-22T04:34:07Z http://ndltd.ncl.edu.tw/handle/54933571985622879510 The Price Discovery of China Listed Company in Three Different Exchanges 中國上市公司於三大交易所價格發現之研究 Yin-YuTai 戴吟羽 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. Ming-Yuan Li 黎明淵 2014 學位論文 ; thesis 42 zh-TW
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language zh-TW
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sources NDLTD
description 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.
author2 Ming-Yuan Li
author_facet Ming-Yuan Li
Yin-YuTai
戴吟羽
author Yin-YuTai
戴吟羽
spellingShingle Yin-YuTai
戴吟羽
The Price Discovery of China Listed Company in Three Different Exchanges
author_sort Yin-YuTai
title The Price Discovery of China Listed Company in Three Different Exchanges
title_short The Price Discovery of China Listed Company in Three Different Exchanges
title_full The Price Discovery of China Listed Company in Three Different Exchanges
title_fullStr The Price Discovery of China Listed Company in Three Different Exchanges
title_full_unstemmed The Price Discovery of China Listed Company in Three Different Exchanges
title_sort price discovery of china listed company in three different exchanges
publishDate 2014
url http://ndltd.ncl.edu.tw/handle/54933571985622879510
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