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題名：兩岸三地股價聯動性研究
書刊名：輔仁管理評論
作者：聶建中 引用關係／林景春／詹凱婷
作者(外文)：Nieh, Chien-chung／Lin, Gin-chung／Chan, Kai-ting
出版日期：2004
卷期：11:2
頁次：頁63-82
主題關鍵詞：兩岸三地；亞太金融中心；股價；衝擊反應分析；變異數分解；Three places around Taiwan strait；Asian financial center；Stock price；Impulse response；Variance decomposition
原始連結：連回原系統網址new window
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  • 被引用次數被引用次數:期刊(9) 博士論文(0) 專書(0) 專書論文(0)
  • 排除自我引用排除自我引用:9
  • 共同引用共同引用:15
  • 點閱點閱:36
本研究結合時間序列多項方法，以1997年亞洲金融風暴發生後之資料，進行亞太地區的區域性整合研究，嘗試發展兩岸三地(臺灣、香港、及上海)在亞太地區的金融主導地位。運用Johansen最大概共整法檢定，發現三地股市於長期間並無均衡共移之關係；但VAR模型分析卻顯示三地股市間存在著短期互動。而Granger因果關係實證發現：港股在大中華經濟區域的影響力最大，香港股市分別領牨於上股市和臺灣股市之走勢。另由衝擊反應分析得知，香港股市為一較具有獨立性的股票市場；而上海股市則為較封閉的市場；至於臺灣股市，當受到來自香港股市及上海股市的衝擊時，反應都較明顯，為一淺碟式經濟。最後，由預測誤差變異數分解的實證結果，觀出臺灣股市的波動很容易受上香港股市異的影響，而香港股市在兩岸三地間對各地股市波階之解釋能力曘強，綜合以上的結論，得知香港股市的影響力最大，目前於兩岸三地間，曘具有成為亞太金融中心之實力的金融主導地位。而臺灣股市表現最為弱勢，若臺灣當局有心推展亞太金融中心之營運，勢必得加強研擬各項配套方案，提出有利吸引外資投入臺灣金融暨證券市場之最佳政策，以增加臺灣股市於國際間之競爭力。
Employing various time series model, this paper focuses on the study of the regional integration in Pacific basin and attempts to explore the potential leader in Asia-Pacific financial Center. This is done by means of analyzing the long-term and short-term interrelationships among the stock markets of china, Hong Kong, and Taiwan after Asian Financial Crisis. Evidence fist does not support a long-run equilibrium relationship among three places around Taiwan Strait by the Johansen cointegration technique. However, their short-run dynamic relationships are found by VAR model analysis. Empirical evidence form Granger causality test shows that the stock market of Hong Kong holds the most influential position in Chinese economic area (CEA). Moreover, form impulse response function, stock market of Hong Kong is how the most independent market, which does not response to the shock raised form other tow markets. Stock market of China is found to be relatively close and stock market of Taiwan, on the other hand, is shown a weak financial market, which is easier to be influenced by other markets. Final evidence from variance decomposition shows a similar result that explained powers of stock markets of Hong Kong and Taiwan are shown to be strongest and weakest, respectively, in the three places around Taiwan Strait. We conclude all the above statements saying that Hong Kong is shown to have the potential leading position in the future Asian-Pacific Financial center. Taiwan government should set appropriate investment policies to attract foreign investors in order to increase her international competence.
期刊論文
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2.Lütkepohl, H.(1991)。Introduction to Multiple Time Series Analysis。Berlin：Springer-Verlag。  new window
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1.Mackinnon, J. G.(1991)。Critical Values for Cointegration Tests。Long-Run Economic Relationships: Readings in Cointegration。New York。  new window
 
 
 
 
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