臺灣博碩士論文加值系統

本文運用大陸股市投資人、計價貨幣、區域性等市場區隔方式，探討中國大陸股市波動性受國際股市及匯率變動的影響是否因為投資人國籍、股票計價貨幣的不同而不同，以及上海與深圳兩個股市之波動性是否因區域區隔而有所差別。本文運用1994年1月3日至2000年12月29日上海與深圳股市A股及B股、香港恆生指數、道瓊工業指數之股價指數及人民幣兌美元及港幣匯率進行實證。結果發現上海A股與B股波動性受道瓊股市波動性及人民幣兌美元匯率影響有顯著的差異；且深圳A股與B股波動性均受香港股市波動性及人民幣對港幣匯率變動的影響也有顯著的差異。顯示投資人與計價貨幣區隔會造成匯率與國際股市對大陸股市波動性衝擊的差異。本文還發現匯率變動對大陸B股的影響為負向也就是匯率變動愈大則股價波動愈小。在亞洲金融風暴後大陸股市受國際股市及匯率的影響程度明顯減低。此外，我們發現深圳A股波動性大於上海A股；但深圳B股的波動性小於上海B股。

This paper analyzes the impact of exchange rate and market segmentation on the volatility of the Chinese stock market. The Chinese stock market includes the Shenzhen and Shanghai Stock Exchange, and both of the exchange can be divided into A-share and B-share. A-share is traded only to Chinese citizens (settled in Renminbi) and B-share is traded to foreign residents (settled in U.S. dollars or Hong Kong dollars). We use the index of the A-share and B-share Shenzhen, Shanghai Stock Exchange, Hang Seng, Dow Jones Industry , Hong Kong dollars to Renminbi exchange rate and U.S. dollars to Renminbi exchange rate to be samples. The results show that the volatility of A share and B share of the Shanghai is influenced by the volatility of NYSE and the U.S. dollars to Renminbi exchange rate. The volatility of A- share and B-share Shenzhen is influenced by the volatility of Hong Kong Stock market and Hong Kong dollars to Renminbi exchange rate. It shows that different investor and valuation currency can influence Chinese stock market volatility from international stock market and exchange rate impact. This paper finds that the exchange rate volatility has negative impact on China stock market B-share, it means the more larger volatility in exchange rate the less volatility in stock price. The international stock markets and exchange rate impact on China stock market effect significantly decreasing after Asian financial crisis. Additionally, we find that the volatility of A-share of Shenzhen stock market is higher than the volatility of A-share of Shanghai stock market, but the volatility of B-share of Shenzhen stock market is lower than the volatility of B-share of Shanghai stock market.

摘 要…………………………………………...………………………i
誌 謝…………………………………………………………iii
目 錄…………………………………………...……………………..iv
表目錄…………………………………………...……………………. vi
圖目錄…………………………………………...…………………….vii
第一章 緒論
第一節 研究背景………………………………………………...….1
第二節 研究動機…………………………………………...……….2
第三節 研究目的…………………………………………...……….3
第四節 研究架構…………………………………………...……….5
第五節 論文概述……………………………………………...…….6
第二章 文獻探討
第一節 股市間波動性傳遞之文獻探討……………………………7
第二節 匯率變動對股市波動性的影響相關文獻探討…………..12
第三節 中國大陸國上海與深圳兩股市互動之文獻探討………..13
第三章 實證方法與設計
第一節 假說建立…………………………………………………..16
第二節 抽樣方法與資料描述……………………………………..18
第三節 變數定義與衡量…………………………………………..19
第四節 實證模型設定程序………………………………………..19
第五節 實證模型…………………………………………………..27
第四章 實證結果分析
第一節 資料處理………………………………………………….34
第二節 穩定性檢定與變數之屬性結果………………………….36
第三節 國際股市波動性對大陸股市波動性影響實證………….37
第四節 匯率變動對大陸股市波動性受影響實證……………….52
第五節 區域區隔是否造成大陸股市波動性差異……………….54
第五章 結論與建議
第一節結論……………………………………………………….57
第二節研究限制與建議………………………………………….58
參考文獻
中文部分………………………………………………….……….59
英文部分………………………………………………….……….60
附 錄………………………………………………….……………….63

表目錄
表1中國大陸股票市場之股票投資人類別及計價單位…………………………….1
表2上海股票市場與深圳股票市場之規模………………………………………...18
表3 DF檢定統計量………………………………………………………………….21
表4各交易所交易時間……………………………………………………………...34
表5各股市指數報酬率敘述統計量………………………………………………...36
表6股價指數報酬率之定態檢定…………………………………………………...36
表7道瓊股市、人民幣兌美元匯率對上海A股之實證結果(1994~2000)………..40
表8道瓊股市、人民幣兌美元匯率對上海A股之實證結果(1994~1996)…………41
表9道瓊股市、人民幣兌美元匯率對上海A股之實證結果(1997~2000)….….…..42
表10道瓊股市、人民幣兌美元匯率對上海B股之實證結果(1994~2000)….…..43
表11道瓊股市、人民幣兌美元匯率對上海B股之實證結果(1994~1996).……..44
表12道瓊股市、人民幣兌美元匯率對上海B股之實證結果(1997~2000)……...45
表13香港股市、人民幣兌港幣匯率對深圳A股之實證結果(1994~2000)….…..46
表14香港股市、人民幣兌港幣匯率對深圳A股之實證結果(1994~1996)….…..47
表15香港股市、人民幣兌港幣匯率對深圳A股之實證結果(1997~2000)……...48
表16香港股市、人民幣兌港幣匯率對深圳B股之實證結果(1994~2000)……...49
表17香港股市、人民幣兌港幣匯率對深圳B股之實證結果(1994~1996)……...50
表18香港股市、人民幣兌港幣匯率對深圳B股之實證結果(1997~2000)……...51
表19上海與深圳股市波動性差異實證結果……………………………………….54
表20假說1-1之實證結果………………………………………………….………55
表21假說1-2之實證結果………………………………………………….………55
表22假說2-1之實證結果………………………………………………….………55
表23假說2-2之實證結果………………………………………………….………56

圖目錄
圖1 論文架構圖………………………………………………………………….…5
圖2 各交易所時區相對時間……………………………………………………...35
圖A1 上海A股指數趨勢圖………………………………………………………63
圖A2 上海A股指數報酬率趨勢圖……………………………………………….63
圖A3 上海B股指數趨勢圖……………………………………………………….64
圖A4 上海B股指數報酬率趨勢圖………………………………………………64
圖A5 深圳A股指數趨勢圖………………………………………………………65
圖A6 深圳A股指數報酬率趨勢圖………………………………………………65
圖A7 深圳B股指數趨勢圖……………………………………………………….66
圖A8 深圳B股指數報酬率趨勢圖……………………………………………….66
圖A9 道瓊股價指數趨勢圖……………………………………………………….67
圖A10 道瓊股價指數報酬率趨勢圖……………………………………………...67
圖A11 香港恆生指數趨勢圖……………………………………………………...68
圖A12 香港恆生指數報酬率趨勢圖……………………………………………...68
圖A13 人民幣兌美元匯率趨勢圖………………………………………………...69
圖A14 人民幣兌美元匯率報酬率趨勢圖………………………………………...69
圖A15 人民幣兌港幣匯率趨勢圖………………………………………………...70
圖A16 人民幣兌港幣匯率報酬率趨勢圖………………………………………...70

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