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    Please use this identifier to cite or link to this item: http://tkuir.lib.tku.edu.tw:8080/dspace/handle/987654321/110687

    Title: 滬港通開通對兩岸三地股價與關聯性影響研究
    Other Titles: The influence of Shanghai-Hong Kong stock connect to the stock price and cointegration of Chinese circle
    Authors: 汪拓冰;Wang, Tuobing
    Contributors: 淡江大學財務金融學系碩士班
    段昌文;Duan, Chang-Wen
    Keywords: 滬港通;事件研究法;股市關聯性;單根檢定;誤差修正模型 (VECM);脈衝相應;上海;深圳;臺灣;香港;Shanghai-Hong Kong Stock Connect;Event Study;correlation anlysis of stock market;unit boot test;Vector Error Correction Model;impulse response anlysis;Shanghai;Shenzhen;Hong Kong;Taiwan
    Date: 2016
    Issue Date: 2017-08-24 23:33:30 (UTC+8)
    Abstract: 本文選取滬港通各股指數並台灣證交所為對照組進行事件研究,觀察是否存在異常報酬率, 再對其交易量和交易金額進行對比;再選取上海A股指數,深圳指數,香港恒生指數和臺灣加權指數的報酬率,進行關聯性分析;經實證分析,本研究歸納結論如下:
    This paper uses Event Study to find out if the Shanghai-Hong Kong Stock Connect cases the abnormal return of Shanghai and Hong Kong stock market relating to Taiwan stock market; Comparing the volume and amount of between Shanghai and Hong Kong Stock, which relating to Taiwan stock market, to find out if the event influence the transaction scale.Then we analyzed the correlation between returns of Shanghai, Shenzhen, Taiwan and Hong Kong stock market. As a result:
    1st: By the analysis of abnormal return, we find that the Shanghai-Hong Kong Stock Connect shows the great influence to stock price of Shanghai stock market, while the influence to the Hong Kong stock fail to be evident.By the analysis of cumulative abnormal return, we find that cumulative abnormal return keeps rising, which means influences is longer than our event window. By the analysis of volume and amount of transaction, we find great influence of the event to volume and amount of transaction of Shanghai stock market, while few to Hong Kong.
    2ed: In correlation analysis, the unit boot test shows that every order is significance in 1% level, reject null hypothesis, unit boot is not exist in every order, so Co-integration test is not available. By VECM analysis, we find that the returns of Shanghai, Shenzhen, Taiwan and Hong Kong stock market deviated from its equilibrium in short-term, still can be adjusted through the error correction term and back to the long-term equilibrium relationship. By Impulse response analysis, every stock market shows different influence by interference of itself. Every stock market shows consistently reflect form during the period of reflection.
    Appears in Collections:[財務金融學系暨研究所] 學位論文

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