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題 名 | 兩岸三地股市連動之研究--狀態空間模型之應用=A Study on the Interrelationships about Stock Price Index in the Straits and Hongkong--The Application of State Space Model |
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作 者 | 古永嘉; 萬文隆; | 書刊名 | 證券櫃檯 |
卷 期 | 70 2002.04[民91.04] |
頁 次 | 頁48-65 |
分類號 | 563.54 |
關鍵詞 | 兩岸三地; 股市連動; 大陸股市; 狀態空間模型; Taiwan; Mainland China and Hong Kong; The inter-relation of stock market; The stock market of Mainland China; State space model; SSM; |
語 文 | 中文(Chinese) |
中文摘要 | 自從1998年下半年起,大陸股市就開始呈現多頭走勢,香港股市雖然也是多頭 格局,不過,走勢比較平緩,臺灣股市則是先漲後跌,在2000年期間,港股呈盤整、臺股下 跌,但是大陸股市則仍呈漲勢,隨著兩岸三地間投資日益頻繁,且兩三地同屬華人,兩岸證 券市場國際化也都是採取類似的模式,本論文鎖定研究兩岸三地股市連動。 本研究主要是分析重大事件對兩岸三地股市連動,採用狀態空間模型(SSM),首先探討美 國道瓊、那斯達克指數,究竟那一個與日本、新加坡及兩岸三地股市連動較佳,再用選定的 美國那斯達克,加上日、新、臺、港等股市,分別與大陸A股與B股等作連動,實證大陸B 股連動效果較好,最後鎖定臺股、港股、上海B股深圳B股等兩岸三地指數報酬率作為本研 究資料,進行兩岸三地股市交互連動分析。 選取1998年至2000年,上述10個地區的股市收盤日資料,並轉換為報酬率,研究結果 如下: 美國那斯達克與兩岸三地股市、日本日經、新加坡股市的連動比美國道瓊與兩岸三地股市、 日本日經、新加坡股市的連動效果好。 上海B股、深圳B股,與美國那斯達克、日本日經、新加坡股市及臺灣、香港股市的連動性, 比上海A股、深圳A股的連動性佳。 兩岸三地股市的連動,呈現四者之間交互關聯,二二之間、三者之間,甚至四者之間都有密 切的互動關係。 兩岸三地股市之間的影響力,以香港的影響力最大,臺股居次,上海B股排第三,深圳B股 最小。 |
英文摘要 | The stock market inter-dependency among Taiwan, Mainland China and Hong Kong has recently attracted great attention. There are three reasons why those markets are interrelated: first, they are Chinese; second, their capital moves frequently; third, they have the same development pattern. The purpose of this essay is to study the inter-relation of stock market among Taiwan, Mainland China and Hong Kong. The major estimation techniques used in this paper are State Space Model(SSM). This study adopts SSM to evaluate everyday inter-relation among the major international stock markets. The major international stock markets include USA, Japan, Singapore, Taiwan, Mainland China and Hong Kong, and this paper focused on the last three markets. Daily closing price of stock market index returns were collected as sample from 1998 to 2000. The empirical results can be summarized as follows: Nasdaq Index has the better inter-relation with interrelation with international stock markets than that of Dow Jones Industrial Average Index. Shanghai B and Shenzhen B Share Index has the better inter-relation with international stock markets that that of Shanghai A and Shenzhen A Share Index. Among the stock market of Taiwan, Hong Kong and Mainland China, there exist contagious effects. When approaching to the event day, the power of stock market inter-relation is bigger and bigger, indicating there was clustering. The impacts of inter-relations ranked as follow: Hang Seng Index, Taiwan Weighted Share Price Index, Shanghai B Share Index, Shenzhen B Share Index. |
本系統中英文摘要資訊取自各篇刊載內容。