市場自由化政策對中國大陸A、B股報酬、風險與相關性之影響

Abstract

本篇論文探討2001年2月的B股開放以及2002年11月的核准申請QFII兩項主要股市開放政策對中國大陸A股及B股股票市場的影響。我們預期在市場開放政策實施之後，股票市場的風險會降低而且A股B股兩市場間的互動也會更為頻繁。本研究藉由四個不同的面向來檢驗自由化政策的效果。首先，探討政策的宣告效果；其次，比較股票折價的變化情形；再來，分析A股與B股兩市場間的共整合關係；最後，探究兩股票市場的波動度有何轉變。實證結果顯示B股開放政策對中國大陸A、B股票市場的風險、報酬以及相關性都有顯著的影響，但是QFII的核准卻沒有明顯的效果。我們推論中國政府的干預或是QFII在A股市場所能扮演的角色可能是導致此一現象的主要原因。

This paper investigates the effects of the two major market liberalization policies, the opening of the B-share market in February 2001 and the approval of the QFII scheme in November 2002, on price behavior of China’s A- and B-share markets. We expect the risk of stock markets will decrease and the two markets will interact with each other more frequently after the implement of market liberalizations. We examine the effects of market liberalizations by four different points of view. First, the announcement effects of two liberalization policies; second, the change of mean price discount; third, the cointegartion relationship between the A- and B-share stock markets; final, the volatility pattern of the A- and B-share stock markets. The empirical results show that the opening of the B-share market has significant influence on the return, risk, and co-movement relationship of the A- and B-share stock market while the QFII scheme does not have obvious impacts. We infer this phenomenon may result from the government’s interference or the role QFII can play in the China’s A-share stock market.