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    Please use this identifier to cite or link to this item: https://tkuir.lib.tku.edu.tw/dspace/handle/987654321/30240


    Title: 台灣加權股價指數、台灣中國概念股股價指數與香港國企股股價指數關聯性之研究
    Other Titles: 臺灣加權股價指數、臺灣中國概念股股價指數與香港國企股股價指數關聯性之研究
    The analysis of Taiwan stock index, Hang Seng China stock index and China-concept stock index
    Authors: 蔡博任;Tsai, Po-jen
    Contributors: 淡江大學中國大陸研究所碩士班
    李志強;Li, Chi-keung
    Keywords: 中國概念股;單根檢定;共整合檢定;China-concept stock index;unit root test;cointegration test
    Date: 2005
    Issue Date: 2010-01-10 23:29:10 (UTC+8)
    Abstract: 中國概念股是目前股票市場上最為熱門話題，本研究將以此為研究的重心進行以下之研究，探討中國概念股、台灣加權股價指數與香港國企股價指數間之互動關係，主要探討各股價指數是否具有領先落後關係，及其市場效率性。實證期間為2002年1 月1 日起至2004 年12 月31 日止，共計725筆股價日資料。
    綜合以上實證研究，本研究所得結論分述如下:
    一、根據單根檢定以及共整合檢定，三種股價指數皆符合弱勢效率市場假說。投資人無法利用過去的歷史股價相關的市場資訊去推測未來的股價價格，以獲取超額報酬，即技術分析無效。
    二、根據誤差修正模型與Granger因果檢定，實證研究發現對中國概念股股價指數而言，僅僅只有台灣加權股價指數有領先關係的存在，而在香港國企股與中國概念股和台灣加權股價指數之間則無法辨別出其領先落後關係。
    三、而在衝擊反應和變異數分析檢定當中我們發現到，台灣加權股價指數本身具有最具關鍵的影響力，當台灣加權股價指數發生衝擊時對於其他兩者的影響相當明顯，相較於香港國企股與中國概念股發生衝擊時對於其他兩著的影響則較為薄弱。
    The China Concept Stock is the popular issue in the stock market. The purpose of this study was to explore (1) the relationship between Taiwan Chinese stock index (TW) ﹑Hang Seng China stock index （HK）and China-concept stock index. To find the lead-lag relation and the efficiency of the market. The research period is from 2002/1/1 to 2004/12/31，725 daily data was calculated.
    Empirical results are summarized ac follows：
    1.The finding form unit root test and cointegration test is the three index is no long-run relationships.
    2.In addition , Granger''s Casuality test suggests that the Taiwan stock index is the dominant role in the three collected index.
    3.The result of Impulse Response Analysis finds the relations of the Taiwan stock index is stonger than Hang Seng China index and Taiwan China-concept index.
    Appears in Collections:[Graduate Institute of China Studies] Thesis

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