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    Title: CEPA對兩岸三地股票市場的影響
    Other Titles: The impact of CEPA on the stock market of mainland China, Taiwan and Hong Kong
    Authors: 顏伸宗;Yen, Shen-chung
    Contributors: 淡江大學管理科學研究所企業經營碩士在職專班
    莊忠柱;Chuang, Chung-chu
    Keywords: 上海B股;深圳B股;CEPA;EGARCH模型;Shanghai B share;Shenzhen B share;CEPA;EGARCH model
    Date: 2009
    Issue Date: 2010-01-11 03:50:19 (UTC+8)
    Abstract: 本研究期間為1997年1月1日至2008年12月31日間,研究標的為兩岸三地間上海B股指數(SHI)、深圳B股指數(SZI)、香港恆生指數(HSI)及台灣加權指數(TWSE)四個股價指數,利用單根檢定、單變量EGARCH模型,探討CEPA對兩岸三地股價指數的影響,實證結果如下:
    1. 本研究之四大指數之報酬序列的均數、偏態、峰度及JB常態性檢定量皆為否定常態分配。在相關係數方面,在1997~2003年期間,恆生指數和深圳指數及恆生指數和加權指數呈現負相關的情形。在2004年香港和中國簽訂CEPA政策之後,兩岸三地之後的相關性皆呈現高度相關的現象。
    2. 在單根部份,本研究利用ADF法,四大指數在經過一階差分轉換後,在5%顯著水準下,拒絕單根的虛無假說,表示各指數序列經一階差分後,其序列會達到平穩。
    3. 在EGARCH部份,在均數方程式中,四大指數的CEPA參數為正值,則表示在實施CEPA後,四大指數平均報酬較高於未實施CEPA之前。而在條件變異方程式中,恆生指數及加權指數受非預期標準化衝擊而造成本身市場波動性的不對稱性現象存在,而上海B股指數及深圳B股之股市不存在波動不對稱性。
    This research has targeted the stock market of the Greater China Region, among Mainland China, Hong Kong and Taiwan, the sample is during Jan 1st of 1997 to Dec 31st of 2008. The Greater China Region has four stock market indexes respectively; B shares on the stock exchanges of Shanghai (SHI) and Shenzhen (SZI), HSCCI and HSCEI on the stock exchanges of Hong Kong (HSI) and Taiwan stock exchange index in Taiwan (TWSE). This study used unit root tests and EGARCH model to testify the influence and comovement of CEPA on the stock market index of the Greater China regions. The result of this study as below:
    1. The sequence of index performance, no matter in the test of average, skewness, kurtosis test and Jarque-Bera test, has shown the rejection of normal distribution。As for the correlation coefficient, in the period of 1997 to 2003, the result has appeared the negative correlation of HSI and SZI ; HSI and TWSE. However, in 2004- 2008, the data has represented the high positive correlation of four stock market indexes. In view of this, Hong Kong and China signed the CEPA agreement in 2004, the stock market indexes of the Greater China region have been gradually high correlated ever since.
    2. On the unit root model, this study has taken the ADF method. After first order different transferring, under the status of 5% significant level, the result has shown that four indexes rejected the null hypothesis. In addition, the sequence of each index will reach to the level of stabilization.
    3. On the mean equation of EGARCH, in case the CEPA parameter came out to positive result, it can be defined that CEPA implement has affected to the wave of fours indexes. Moreover, the wave will become bigger than it was。On the other hand, over the conditional variation equation, the price of HSI and SZI will be influenced by unprecedented standardization, as a result of existing of asymmetric. However, the asymmetric is not existed in SHI and TWSE.
    Appears in Collections:[管理科學學系暨研究所] 學位論文

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