中國大陸與其五大貿易夥伴之股票市場連動性__臺灣人文及社會科學引文索引資料庫

:::

詳目顯示

第 1 筆 / 總合 1 筆

/1頁

論文基本資料
摘要
外文摘要
參考文獻

題名：	中國大陸與其五大貿易夥伴之股票市場連動性
作者：	林樹源
作者(外文)：	Su-Yuan Lin
校院名稱：	淡江大學
系所名稱：	管理科學研究所博士班
指導教授：	張紘炬張倉耀
學位類別：	博士
出版日期：	2011
主題關鍵詞：	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
原始連結：	連回原系統網址
相關次數：	被引用次數:期刊(0) 博士論文(0) 專書(0) 專書論文(0) 排除自我引用:0 共同引用:0 點閱:39

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。

以文找文

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.

以文找文

一、中文部分
1.田峻吉（2001），「美國、日本、香港股市對台灣電子股指數的影響－GARCH模型之應用」，國立臺灣大學農業經濟學研究所碩士論文。 new window

2.江智德 (1997)，「國際資本市場互動關係之研究-GARCH模型之應用」，國立台灣大學商學研究所碩士論文。
3.吳銀釧 (1998)，「台灣與國際股市相關係數的時間數列分析及應用」，國立政治大學國際貿易研究所碩士論文。
4.李志鴻 (2004)，「兩岸三地股市與美國股市相關連性研究」，中國大陸文化大學經濟學研究所碩士論文。
5.邱建良、劉聰衡、紀嘉政 (2000)，「台灣股市與國際股市共移性之研究」，商管科技季刊，1(3)，263-285。 new window

6.胡峻毓（1999），「國際股市之連結性研究」，元智大學管理研究所碩士論文。
7.徐守德 (1995)，「亞洲股市間共整合關係之實證研究」，證券市場發展季刊，7(4)，33-57。 new window

8.陳怡君 (2003)，「中國大陸概念股股價指數與其他指數關聯性研究」，國立成功大學企業研究所碩士論文。
9.陳建福、陳國芬 (2005)，「大陸A 股與香港H 股溢折價關係之實證研究」，東華大學國際經濟研究所碩士論文。
10.楊踐為、賴怡洵（1998），「美、日、香港與台灣四地股價指數連動關係之探討」，台灣土地金融季刊，35(2)，1-15。
11.萬文隆(2001)，「重大事件對兩岸三地股市連動之研究－狀態空間模型及介入模式之應用」，國立臺北大學企業管理學系碩士論文。
12.廖國源 (2002)，「台灣與美國股市動態關聯性之傳遞效果研究」，國立高雄第一科技大學財務管理所碩士論文。
13.蔡玠施 (1995)，「亞洲股市間動態波及效果之實證研究：GARCH模型之應用」，國立臺灣大學財務金融學系研究所。

二、英文部分
1.Agmon, T. (1973) The relationship among equity markets: A study of share price comovements in the United States, United Kingdom, Germany and Japan. Journal of Finance, 27 (4), 839-855.
2.Arshanpalli, B. and Doukas, J. (1993) International stock market linkages: Evidence from the Pre- and Post-October 1987 Period. Journal of Banking and Finance, 17, 193-203.
3.Atteberry, W.L. and Swanson, P.E. (1997) Equity market integration: the case of North America. North American Journal of Economics and Finance, 8, 23–37.
4.Bae, K. H. and Karolyi, G.A. (1994) Good news, bad news and international spill-overs of stock return volatility between Japan and the U.S. Pacific-Basin Finance Journal 2, 405-438.
5.Bekaert, G. and Campbell R.H. (1995) Time-varying world market integration, Journal of Finance 50, 403-444.
6.Bessler D.A. and Yang, J. (2003) The structure of interdependence in international stock markets. Journal of International Money and Finance, 22, 261-287.
7.Bierens, H.J. (1997) Nonparametric cointegration analysis, Journal of Econometrics, 77, 379-404.
8.Campbell, J.Y. and Perron, P. (1991) Pitfalls and opportunities: What macroeconomists should know about unit roots and cointegration. NBER Macroeconomics Annual, Cambridge, MA: MIT Press.
9.Cha, B. and Oh, S. (2000) The relationship between developed equity markets and the Pacific Basin''s merging equity markets. International Review of Economics and Finance, 9, 299-322.
10.Chan, K.C., Cheng, T.W. and Fung, K.W. (2002) Ownership restrictions and stock-price behavior in China. Chinese Economy, 34, 29-48.
11.Chan, K.C., Gup, B.E. and Pan, M.S. (1992) Am empirical analysis of stock prices in major Asian market and the United States. Finance Reviews, 27(2), 283-307.
12.Cheung, Y.L. and Mak, S.C. (1992) The international transmission of stock market fluctuation between the developed markets and the Asian Pacific markets. Applied Financial Economics, 2, 43-47.
13.Cheung, Y.W. and Lai, K.S. (1999) Macroeconomic determinants of long-term stock market comovements among major EMS countries. Applied Financial Economics, 9, 73-85.
14.Chong, T.T.L. and Su, Q. (2006) On the comovement of A and H shares. Chinese Economy, 39(5), 68-86.
15.Corhay, A., Tourani, A.R. and Urbain, J.-P. (1993) Common stochastic trends in European stock markets. Economics Letters, 42, 385-390.
16.Darbar, S.M. and Deb, P. (1997) Comovement in international equity markets. Journal of Financial Research, 20, 305-322.
17.Dickey, D.A. and Fuller, W.A. (1979) Distribution of the estimators for autoregression time series with a unit root. Journal of American Statistical Association, 74, 427-432.
18.Dickey, D.A. and Fuller, W.A. (1981) Likelihood ration statistics for autoregressive time series with a unit root, Econometrica 49(4), 1057-1072.
19.Dunis, C.L. and Shannon, G., (2005) Emerging markets of South-East and Central Asia: Do they still offer a diversification benefit? Journal of Asset Management, 6(3), 168-190.
20.Enders, W. and Ludlow, J. (2002) Non-linear decay: Tests for an attractor using Fourier approximation. The University of Alabama, Economics, Finance and Legal Studies, Working Paper Series WP01-02-02.
21.Engle, R. and Granger, C.W.J. (1987) Co-integration and error correction: representation, estimation, and testing. Econometrica, 55, 251-276.
22.Engle, R.F. and Kroner, K.F. (1995) Multivariate simultaneous GARCH. Econometric Theory, 11, 122-150.
23.Eun, C.S. and Shim, S. (1989) International transmission of stock market movements. Journal of Financial and Quantitative Analysis, 24, 241-256.
24.Ewing, B.T., Payne, J.E. and Clifford, S. (1999) NAFTA and North American stock market linkages: An empirical note. North American Journal of Economics and Finance, 10, 443-451.
25.Fan, K., Lu, Z. and Wang, S. (2009) Dynamic linkages between the China and international stock markets. Asia-Pacific Financial Markets, 16, 211-230.
26.Forbes, P. (1993) The integration of European stock markets: The case of the banks. Journal of Business Finance and Accounting, 20, 424-439.
27.Friedman, M. and Schwartz, A.J. (1963) A monetary history of the United States, 1867-1960. Princeton: Princeton University Press.
28.Ghosh, A., Saidi, R. and Johnson, K.H. (1999) Who moves the Asia-Pacific stock markets – US or Japan? Empirical evidence based on the theory of Cointegration. Financial Review, 34, 159-170.
29.Gklezakou, T. and Mylonakis, J. (2009) Interdependence of the developing stock markets, before and during the economic crisis: The case of south Europe. Journal of Money, Investment and Banking, 11, 70-78.
30.Gklezakou, T. and Mylonakis, J. (2010) Links and interdependence of developed stock markets under global economic crisis conditions. Journal of Financial Services Marketing, 14(4), 314-327.
31.Granger, C. (1969) Investigating causal relations by econometric models and cross-spectral methods. Econometrica, 37, 424-438.
32.Granger, C.W.J. and Newbold, P. (1974) Spurious regressions in econometrics. Journal of Econometrics, 2, 111-120
33.Gruble, H.（1968）Internationally diversified portfolios: Welfare gains and capital flows. American Economic Review, 58, 1299-1314.
34.Hilliard, J. (1979) The relationship between equity indices on world exchanges. Journal of Finance, 34,103-114.
35.Huang, B.N., Yang, C.W. and Hu, W.S. (2000) Causality and cointegration of stock market among the United States, Japan, and the South China Growth Triangle. International Review of Financial Analysis, 9(3), 281-297.
36.Johansen, S. (1988) Statistical analysis of cointegrating vectors. Journal of Economic Dynamics and Control, 12, 231-254.
37.Johansen, S. (1991) Estimation and hypothesis testing of cointegrating vectors in gaussian vector autoregressive model. Econometrica, 59, 1551-1580.
38.Johansen, S. and Juselius, K. (1990) Maximum likelihood estimation and inference on cointegration with applications to the demand for money. Oxford Bulletin of Economics and Statistics, 52, 169-210.
39.Kapetanios, G., Shin, Y. and Snell, A. (2003) Testing for a unit root in the nonlinear STAR framework. Journal of Econometrics, 112, 359-379.
40.King, M.A. and Wadhwani, S. (1990) Transmission of volatility between stock markets. Review of Financial Studies, 3, 5-33.
41.Knif, J. and Pynnönen, S. (1999) Local and global price memory of international stock markets. Journal of International Financial Markets, Institutions and Money, 9, 129-147.
42.Ko, K. S. and Lee, S. B. (1991) A comparative analysis of the daily behavior of stock returns: Japan, the U.S. and the Asian NICs. Journal of Business, Finance and Accounting, 18, 219-234.
43.Koutmos, G. (1996) Modeling the dynamic interdependence of major European stock markets. Journal of Business Finance and Accounting, 23, 975-988.
44.Kwiatkowski, D., Phillips, P.C.B., Schmidt, P. and Shin, Y. (1992) Testing the null hypothesis of stationarity against the alternative of an unit root: How sure are we that economic time series have a unit root? Journal of Econometrics, 54, 159-178
45.Li, Y., Greco, J.F. and Chavis, B. (2000) Lead-lag relations between A shares and H shares in the Chinese stock markets. Workshops at the City University of Hong Kong and National University of Singapore.
46.Li, Y., Yan, D. and Greco, J. (2005) Market segmentation and price differentials between A shares and H shares in the Chinese stock markets. Journal of Multinational Financial Management, 16(3), 232-248.
47.Lintner, J. (1965) The valuation of risk assets and the selection of risky investments in stock portfolios and capital budgets. Review of Economics and Statistics, 47(1), 13-37.
48.Liu, Y. and Pan, M. (1997) Mean and volatility spillover effects in the U.S. and Pacific-Basin stock markets. Multinational Finance Journal, 1(1), 48-63.
49.Ludlow, J. and Enders, W. (2000) Estimating non-linear ARMA models using Fourier coefficients. International Journal of Forecast, 16, 333-347.
50.Luukkonen, R., Saikkonen, P., and Teräsvirta, T. (1988) Testing linearity against smooth transition autoregressive models. Biometrika, 75,491-499.
51.Ma, C.K. and Kao, G.W. (1990) On exchange rate changes and stock price reactions. Journal of Business Finance and Accounting, 17(3), 441-449.
52.Markowitz, H. (1952) Portfolio selection. Journal of Finance, 7(1), 77-91.
53.Masih, R. and Masih, A.M.M. (2001) Long and short term dynamic causal transmission among international stock markets. Journal of International Money and Finance, 20, 563-587.
54.McDonald, J.G. (1973) French mutual fund performance: Evaluation of internationally-diversified portfolios. Journal of Finance, 28(5), 1161-1180.
55.Mink, M. and Mierau, J. (2009) Measuring stock market contagion with an application to the Sub-prime crisis. DNB working paper.
56.Mukherjee, T.K. and Naka, A. (1995) Dynamic relations between macroeconomic variables and the japanese stock market: An application of a vector error correction model. Journal of Finance Research, 18, 223-237.
57.Nelson, C.R. and Plosser, C.R. (1982) Trends and random walks in macro-economics time series: Some evidence and implications. Journal of Monetary Economics, 10, 139-162.
58.Neumark, D., Tinsley, P.A. and Tosini, S. (1991) After-hours stock prices and post-crash hangovers. Journal of Finance, 46, 159-178.
59.Ng, S., and Perron, P. (1995) Unit root tests in ARMA models with data-dependent methods for the selection of the truncation lag. Journal of the American Statistical Association, 90, 268–281.
60.Osterwald-Lenum, M. (1992) A note with quantiles of the asymptotic distribution of the maximum likelihood cointegration rank test statistic. Oxford Bulletin of Economics and Statistics 54, 461-472. new window

61.Ozun, A. (2007) Are the reactions of emerging equity markets to the volatility in advanced markets similar? Comparative evidence from Brazil and Turkey. International Research Journal of Finance and Economics, 9, 220-230.
62.Panton, D.B., Lessig, V.P. and Joy, O.M. (1976) Comovement of international equity markets: A taxonomic approach. Journal of Financial and Quantitative Analysis, 11, 415-432.
63.Park, J. and Fatemi, A. (1993) The linkages between the equity markets of Pacific-Basin countries and those of the US, UK, and Japan: A vector autoregression analysis. Global Finance Journal, 4, 49-64.
64.Patelis, A.D. (1997) Stock return predictability and the role of monetary policy. Journal of Finance, 52, 1951-1970.
65.Phengpis, C. and Apilado, V.P. (2004) Economic interdependence and common stochastic trends: A comparative analysis between EMU and non-EMU stock markets. International Review of Financial Analysis, 13, 245-263.
66.Phillips, P. C. and Perron, P. (1988) Testing for a unit root in time series regression, Biometrika, 75, 335-346.
67.Ripley, D.M. (1973) Systematic elements in the linkage of national stock market indices. Review of Economics and Statistics, 55(3), 356-361.
68.Roca E.D., Selvavathan, E.A. and Shepherd, W.F. (1998) Are the ASEAN equity markets interdependent?. ASEAN Economic Bulletin, 15(2), 109-120.
69.Said, S., and Dickey, D. (1984) Testing for unit roots in autoregressive-moving average model of unknown order. Biometrica, 71, 599-607.
70.Sharpe, W. (1964) Capital asset prices: A theory of market equilibrium under conditions of risk. Journal of Finance, 19(3), 425-442.
71.Sims, C.A. (1980) Macroeconomics and reality. Econometrica, 48, 1-48.
72.Solnik, B., (1974) An equilibrium model of the international capital market. Journal of Economic Theory, 8, 500-524.
73.Suliman, O. (2005) Interest rate volatility, exchange rates and external contagion. Applied Financial Economics, 15, 883-894.
74.Theodossiou, P. and Lee, U. (1993) Mean and volatility spillovers across major national stock markets: Further empirical evidence. Journal of Financial Research 16, 327-350.
75.Tobin, J. (1958) Liquidity preference as behavior toward risk. Review of Economic Studies, 67, 65-86.
76.Wang, S.S. and Jiang, L. (2004) Location of trade, ownership restrictions, and market illiquidity: Examining Chinese A and H s0hares. Journal of Banking and Finance, 28, 1273-1297.
77.Wang, Y. and Iorio, A.D. (2007) Are the China-related stock markets segmented with both world and regional stock markets? Journal of International Financial Markets, Institutions and Money, 17, 277-290.

推文
推薦
引用網址
引用嵌入語法
轉寄

top

:::

相關期刊
相關論文
相關專書
相關著作
熱門點閱

1.	七大工業國家股市連動及保險與經濟成長關係之探討
2.	運用向量誤差修正模型探討臺灣各產業與股市大盤間資訊傳遞速度
3.	影響外資持股偏好因素之探討：安全性及資訊不對稱
4.	危機事件對外資投資偏好與持股特性之影響
5.	次級房貸風暴對臺股指數與國際指數互動關係之影響
6.	政黨輪替前後臺灣股市與國際股市連動性之比較
7.	美國國會通過金融紓困後的臺灣與美國股票指數共移關係
8.	臺灣與貿易夥伴--香港及東協五國--股市互動性之研究
9.	臺灣與國際股市極端值報酬相關性之研究
10.	在不同時間趨勢下臺股指數現貨與臺股指數期貨領先落後關係之探討
11.	新興五國與臺灣股價指數連動關係之研究
12.	臺灣與主要貿易國的股市關聯性：一般化IRF實證分析
13.	亞洲金融風暴對臺灣股匯市影響：跳躍-擴散模型應用
14.	金融風暴對股市間波動性的連動性影響--ARJI模型
15.	臺灣股匯市與美日股市連動性之探討

1.	安全性、資訊不對稱、公司治理與外資持股偏好之關連性

無相關書籍

無相關著作

1.	以Kano模式與重要度績效分析探討亞洲主要貨櫃港口之服務品質
2.	手球比賽射門方式之分析研究
3.	太歲的信仰溯源與祭祀空間─以臺灣為主的討論
4.	中國加入WTO後與主要貿易夥伴的股市動態關聯之研究
5.	太平洋盆地股市互動與投資策略意涵
6.	中國審計公費與盈餘管理風險之關聯性
7.	The Reading Attainment of Hong Kong Primary Four Students: A Study of Literacy Achievements and Its Implications
8.	大學生對旅遊目的地意象、旅遊意願之影響以香港迪士尼旅遊微電影「幸福的原點」為例
9.	二十一世紀的香港幼兒教育課程改革：回顧與前瞻
10.	不為人知的張愛玲：美國新聞處譯書計畫下的《秧歌》與《赤地之戀》
11.	以反思與學習啟動校長領導動能引領變革發展的學校經營
12.	Phonological Changes in Code-Mixing and the Effects on Foreign Accents: A Comparative Study
13.	Women's Salvation and Collective Order: A Penitential Ritual for Deliverance from the Lake of Blood Performed in Hong Kong
14.	以繪本《紙袋公主》結合教育戲劇實踐批判閱讀教學之自我研究：陶造與再陶造戲劇慣例的運用
15.	The Rule of Law under "One Country, Two Systems": The Case of Hong Kong 1997~2010

QR Code

臺灣人文及社會科學引文索引資料庫系統

詳目顯示

臺灣人文及社會科學引文索引資料庫