臺灣博碩士論文加值系統

本文應用 Engle (2002) 提出之動態條件相關 (dynamic conditional correlation, DCC) 雙變量 GARCH
模型估計29家在中國大陸及香港股市雙重上市公司股價報酬和波動性之外溢效果。
本文實證結果如下:
第一、26家雙重上市公司股價報酬拒絕固定條件相關之虛無假設, 均存在動態條件相關性。
第二、香港股市其股價 (或波動) 持續性及外溢效果相對較低。
第三、A股或H股股票市場其波動外溢效果皆顯著高於報酬外溢效果。
第四、利用雙變量GARCH模型, 發現中國大陸證券市場存在顯著報酬及波動外溢效果。
第五、由動態條件相關係數的估計值顯示,隨著中國大陸金融市場的開放,使得A股與H股之間動態相關係數呈現逐漸增加的趨勢。

In this paper, we apply the dynamic conditional correlation (DCC) bivariate GARCH model,
proposed by Engle (2002), to estimate return and volatility spillover effects on twenty-nine
dually-listed A-share in China and H-share in Hong Kong.
The empirical results are as follows:
First, the returns of twenty-six dually-listed companies lead to reject the null hypothesis of a
constant conditional correlation, which reveals that the dynamic conditional correlation model
should be adopted.
Second, the Hong Kong stock market reveals the low persistency and spillover effect on return and volatility.
Third, the volatility spillover effect is significantly stronger than those for A-share and H-share stock markets.
Fourth, we have found that significant return and volatility spillover effects exist in the Chinese stock
market.
Finally, the estimates of the correlation coefficents suggests that a increasing tendency of
correlation coefficients between A- and H-share returns is significantly related to the liberalization
of China's stock market in recent years.

1. 緒論..................................................9
1.1 研究動機...........................................9
1.1.1 研究動機.......................................9
1.1.2 研究目的及方法................................11
1.1.3 研究架構......................................12
1.2 中國大陸證券市場概況..............................13
2. 相關文獻回顧.........................................15
2.1 中國大陸證券市場區隔性探討........................15
2.2 中國大陸證券市場價格差異性的探討..................16
2.3 中國大陸證券市場的資訊傳遞........................17
2.4 股票市場間波動動態相關性與靜態相關性的探討........18
3. 計量方法.............................................21
3.1 單根檢定 (Unit Root Test).........................21
3.1.1 DF檢定法 (Dickey-Fuller Test).................22
3.1.2 ADF檢定法 (Augmented Dickey-Fuller Test)......22
3.1.3 PP檢定法 (Phillips-Perron Test)...............23
3.2 自我迴歸條件異質變異數模型(ARCH)..................24
3.3 ARCH效果檢定 (ARCH Effect Test)...................25
3.4 固定條件相關檢定 (CCC Test).......................26
3.5 動態條件相關 (DCC) 其理論模型與實證方法...........26
3.5.1 理論模型......................................27
3.5.2 參數估計方法..................................29
4. 實證結果與分析.......................................33
4.1 資料來源..........................................33
4.2 資料處理..........................................34
4.3 單根檢定結果......................................34
4.4 ARCH檢定結果......................................35
4.5 固定條定相關係數檢定結果..........................35
4.6 固定及動態條件相關檢定結果........................36
4.6.1 報酬持續性及外溢效果檢定結果..................37
4.6.2 波動持續性及外溢效果檢定結果..................38
4.6.3 固定及動態相關係數檢定結果....................40
5.結論..................................................41
參考文獻................................................43
表......................................................47

陳建福和陳國芬 (2005), 《大陸A股與香港H股訊息傳遞與價差原因之實證研究》,研究論文,國立東華大學國際經濟研究所。

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