兩岸三地股價指數之關聯性分析

Abstract

本文結合時間序列多項方法，嘗試發現兩岸三地之間的金融互動情形。為了避免資料產生結構性變化，以大陸B股開放後之台灣加權股價指數、香港恆生股價指數、上海A股股價指數、上海B股股價指數、深圳A股股價指數、及深圳B股股價指數為主要的研究對象，其資料範圍從2001年3月1日至2005年12月30日之每日收盤價。 由實證結果可發現：(1)根據Johansen最大概似共整合檢定結果得知，三地股市於長期間存在均衡共移之關係。(2)根據VECM模型分析顯示三地股市有著不同的短期互動關係，並且以上海B股及深圳B股影響其它股市最為激烈。(3)由Granger因果關係檢定結果得知，香港股市在三地間為領先指標。(4)衝擊反應分析得知台灣股市受到其他股市衝擊時的反應極微，為一較具有獨立性的股票市場；而上海、深圳股市則為較封閉的市場；至於香港股市則屬資訊傳遞較有效率的股票市場。(5)由預測誤差變異數分解的實證結果，可觀察出三地之六個股價指數之預測誤差變異數，大多由自身解釋的程度較大，唯深圳A、B股例外，其大多可由上海A、B股所解釋，可見深圳股市受上海股市影響很大。

By applying various time series models, this paper investigates the dynamic interdependence of the major stock markets in the Chinese economic area (CEA). In order to avoid any structural change in the paper, the research period of this thesis is after Mainland China B share was open to mainland Chinese nationalities. Stock indices of Shanghai A and B shares, Shenzhen A and B shares, Taiwan, and Hong Kong are reasearch objects in this research. The dataset consists of end-of-day stock price indices during the priod from March 1, 2001 to December 30, 2005. Our major empirical findings are as follows: (1) According to the Johansen cointegration test, stock markets of China, Hong Kong, and Taiwan are mutually linked to have a long-run equilibrium relationship. (2) According to VECM model analysis, the three stock markets have different short-term relations. Shanghai B and Shenzhen B shares have the strongest influences on the other stock markets. (3) According to the Granger causality test, we conclude that Hong Kong stock index is the leading index among the three areas. (4) From the impulse-response analysis, Taiwan stock market is an independent market which does not response to the shock raised from other markets. Stock market of China is relatively closed. Hong Kong stock market has faster information transmission, making it a more efficient stock market. (5) The variance decomposition analysis that the stock indices of Hong Kong, Taiwan, Shanghai A and B shares are explained mostly by themselves. However, Shenzhen A and B shares are explained mostly by Shanghai A and B shares. Thus, the Shanghai stock market has a very deep impact on the Shenzhen stock market.