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    Title: 中國大陸與其五大貿易夥伴之股票市場連動性
    Other Titles: Stock market integration and linkage between China and its five major trading partners
    Authors: 林樹源;Lin, Su-Yuan
    Contributors: 淡江大學管理科學研究所博士班
    張紘炬;張倉耀;Chang, Horng-Jinh;Chang, Tsang-yao
    Keywords: 股價指數;向量自我迴歸模型;誤差修正模型;stock index;Vector Autoregression Model;Error correction model
    Date: 2011
    Issue Date: 2011-12-28 18:14:51 (UTC+8)
    Abstract: 本研究針對中國大陸與其五大貿易夥伴之股票市場進行探討分析,分別採用美國道瓊工業股價指數(Dow Jones Price Index)、香港恆生股價指數 (Hang Seng Price Index)、南韓綜合股價指數(KOSPI Price Index)、日本東京日經225指數(NIKKEI Price Index) 及臺灣加權股價指數(TSE Price Index),中國大陸股票市場則取樣中國大陸上海A股加權股價指數(Shanghai A Price Index) 及中國大陸深圳A股加權股價指數(Shenzhen A Price Index) 共七種股價指數做為研究樣本,分別進行單根檢定、共整合檢定、因果關係檢定、誤差修正模型、衝擊反應分析及預測變異數分解等實證分析。
    從本研究的實證結果與過去學者所提出的理論相對照,可以發現本研究的結果支持McDonald (1973)和Solnik (1974)主張的弱勢區隔理論,因此在中國大陸股票市場,因為其仍有資本管制以及對外國投資人限制的投資障礙存在(國家因素),縱使現在由於其經貿活動快速增長,促使金融市場快速成長,但仍因為有種種的投資限制而與其重要貿易夥伴的股票市場之間的連動關係降低,從本研究的結論中可以得到證明,中國大陸股票市場會受到外國股票市場的影響,而中國大陸股票市場影響外國股票市場程度卻不高。
    本研究縱使以與中國大陸經貿關係較密切的國家之股票市場進行分析,但仍然得到中國大陸股票市場與其經貿關係密切的股票市場連動性不足的實證結果,因此若中國大陸欲提升與國際股票市場的整合程度,仍應考慮放鬆其種種投資限制,如資本限制,外國投資人交易限制等,方可提高中國大陸市場與國際股票市場的整合程度,亦可吸引更多外國投資人及資金進入中國大陸金融市場,從而提高中國大陸金融市場的發展程度。
    The goal of this study is to examine the linkage among stock markets of China and their five major trading partners. The sample indexes employed in this study including Dow Jones price index, Hang Seng price index, KOSPI index, NEKKEI 225 index, TSE index, Shanghai A share index and Shanzhen A share index. Furthermore, this study uses several tests to explore the relation between stock markets of China and their major trading partners, such as unit root test, cointegration test, causality test, error correction model, impulse response analysis and forecast error variance decomposition.
    From the empirical results of this study, we find that this study supports the weakly segment theory of McDonald (1973) and Solnik (1974). This implies that the linkages between Chinese stock market and foreign stock markets are weak even now the economic activity and financial market of China are growing rapidly. The major reason is that there still exist several investment barriers in China, reducing this linkage between Chinese stock and foreign stock markets.
    In our opinion, if China wants to increase the integration with international financial markets, the authority of the China should first consider releasing the investment restrictions, such as capital restriction and investment barrier of foreign investors, to attract more international investors or capitals into the China stock markets and then increase the development degree of China stock market.
    Appears in Collections:[Department of Management Sciences] Thesis

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