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研究生:張巧宜
研究生(外文):Chiao-Yi Chang
論文名稱:兩岸四地股票市場連動關係之研究─分數共整合應用
論文名稱(外文):The Linkage of the Stock Prices among Shanghai, Shenzhen, Hong Kong and Taiwan-An Application of Fractional Cointegration Approach
指導教授:菅瑞昌菅瑞昌引用關係
指導教授(外文):Andy Chien
學位類別:碩士
校院名稱:國立高雄第一科技大學
系所名稱:金融營運所
學門:商業及管理學門
學類:財務金融學類
論文種類:學術論文
論文出版年:2002
畢業學年度:90
語文別:中文
論文頁數:53
中文關鍵詞:分數共整合國際資本市場共移
外文關鍵詞:Fractional CointegrationComovementInternational Capital Market
相關次數:
  • 被引用被引用:25
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  • 下載下載:199
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  隨著全球資訊網快速連結,國際資訊立即傳遞,證券市場全球化已明顯存在於國際投資環境中,國際股市連動現象日益受到注意,本文目的主要在探討包括上海、深圳、香港與台灣等兩岸四地股票市場之連動關係,文中除使用分數共整合模式來研究上述資本市場之互動程度外,並與傳統整數共整合結果進行比較。

實證結果發現,深圳B股與上海B股以及台灣與香港股市具有分數共整合的關係,且除深圳B股與上海B股外,其餘市場均無任何整數共整合關係的存在,故投資人可藉由上述特定市場的多角化投資,嘗試達到分散風險的效益。
Because the immediate transmission of worldwide information web and the significant globalization of stock market existed in international investment environment, the interest in international capital market integration is growing. The purpose of this study is to examine the cross-strait relationships among four stock markets including Shanghai, Shenzhen, Hong Kong and Taiwan. This paper expands the existing empirical studies of international capital market integration in using fractional cointegration model in co-movement of international stock markets. It compares the fractional cointegration model with traditional cointegration model to search for their long-term relationship between the above markets.

The results find that the B-share market in Shenzhen is fractional cointegrated with Shanghai, and so is the stock market between Taiwan and Hong Kong. However, only the results of stock market between Shanghai and Shenzhen indicate that the null hypothesis of no cointegration can be rejected. Besides that, no evident cointegration or even fractional cointegration between the other markets exists. That means the investors can get some avenues for investment diversification.
目錄
中文摘要-------------------------------------------------------------------i
英文摘要-------------------------------------------------------------------ii
誌謝------------------------------------------------------------------------iii
目錄------------------------------------------------------------------------iv
表目錄----------------------------------------------------------------------v
圖目錄----------------------------------------------------------------------vi
第壹章 緒論----------------------------------------------------------------1
第一節 研究動機----------------------------------------------------------2
第二節 研究目的----------------------------------------------------------4
第三節 研究範圍----------------------------------------------------------5
第四節 研究限制----------------------------------------------------------6
第五節 論文結構----------------------------------------------------------7
第貳章 文獻探討----------------------------------------------------------8
第一節 國際股市連動研究之相關文獻------------------------------9
第二節 文獻評論----------------------------------------------------------12
第參章 研究設計----------------------------------------------------------13
第一節 研究架構----------------------------------------------------------14
第二節 研究假說----------------------------------------------------------16
第三節 研究變數資料來源與操作性定義--------------------------17
第四節 研究方法----------------------------------------------------------19
第肆章 實證結果分析----------------------------------------------------29
第一節 資料描述統計摘要----------------------------------------------30
第二節 恆定性檢定實證結果-------------------------------------------37
第三節 分數共整合檢定實證結果-------------------------------------39
第四節 共整合檢定實證結果-------------------------------------------43
第伍章 結論與建議--------------------------------------------------------45
第一節 結論------------------------------------------------------------------46
第二節 建議------------------------------------------------------------------47
參考文獻----------------------------------------------------------------------48
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