臺灣博碩士論文加值系統

本研究以中國大陸雙重掛牌於A股及H股市場公司為例，探討中國及香港股票市場間的關聯性，並以開放外資可直接進入A股市場及人民幣匯率回歸市場機制兩個事件為轉折點，觀察中國及香港股市關聯性是否產生結構性的變化。實證分析結果發現，中國政府在外資及匯率政策開放後，確實提昇A股與H股訊息傳導機制。進一步探究發現外資及匯率開放後明顯增強了H股市場對於A股市場的影響力；相對而言，A股市場對H股市場的影響力反而降低。在衝擊反應方面，A股及H股均對來自於本身前一期衝擊反應具劇烈的正向反應，而A股與H股相互衝擊部份，H股市場對來自A股市場的衝擊反應效果相對於A股市場對來自H股市場的衝擊於期初呈現較為明顯的反應，A股對H股市場訊息的衝擊呈現逐漸增加再遞減的現象，亦即母國A股相對於存託憑證H股扮演著資訊的主導，為訊息發動者的角色。在變異數分解方面，A股對來自本身落後期數的解釋能力高達97%以上，而H股對來自本身的解釋能力也維持在76%~98%間，A股較H股受其本身落後期數的解釋力為高，說明A股較H股呈現更為明顯變異自我解釋的現象。

In this paper, we adopted the companies published A shares in China and dual-listed H shares in Hong Kong as examples to investigate the relationships between the China and Hong Kong stock markets. One of the features in our analysis is to study whether the structure breaks, that the China anthority allows QFII could directly purchase A shares and implement more flexible RMB exchange rate mechanism, affect the dynamics of the stock markets of China and Hong Kong. Empirical results demonstrate that the removal of restrictions on foreign investment and implementing more flexible exchange rate policy has been extremely helpful in raising the information transmissions between A shares and H shares. Further research finds that these policies changes did significantly increase the influence of H shares on A shares, whereas the influence of A shares to H shares has been reduced. From the analysis of impulse response, we find that A shares and H shares are positively affected by themselves in the previous period. H shares market is sensitive to A shares market in the beginning. The impact of market information from A shares to H shares is gradually increasing and then gradually decreasing. Overall, our results confirm A shares plays the more dominant role of information transmissions on H shares. Regarding the results of forecast variance decomposition, although the variance of A shares and H shares are highly explained by their previous information, respectively, however, the variance of A shares is more evidently explained by itself than that of H shares.

第壹章 緒論
第一節 研究背景與動機1
第二節 研究目的與問題6
第三節 研究架構與流程7
第貳章 文獻回顧與探討
第一節 國際股市關聯性之文獻回顧與探討8
第二節 中國股市關聯性之文獻回顧與探討11
第參章 研究方法
第一節 單根檢定15
第二節 共整合檢定17
第三節 向量自我迴歸模型20
第四節 向量誤差修正模型20
第五節 實証檢定模型21
第六節 衝擊反應分析24
第七節 變異數分解26
第肆章 實證結果分析
第一節 資料選取與處理說明27
第二節 單根檢定36
第三節 共整合檢定39
第四節 實証模型檢定41
第五節 衝擊反應分析47
第六節 變異數分解57
第伍章 結論與建議
第一節 研究結論64
第二節 研究建議65
參考文獻66

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