Please use this identifier to cite or link to this item: https://ah.lib.nccu.edu.tw/handle/140.119/94768
題名: A股和H股互動關係研究
On the Comovement of the Chinese A and H Shares
作者: 安娜琳
Landeghem, Anneleen Van
貢獻者: 朱浩民
Chu,Hau Min
安娜琳
Anneleen Van Landeghem
關鍵詞: A股
H股
互動關係
Comovement
China
A share
H share
日期: 2008
上傳時間: 9-May-2016
摘要: This thesis gives a brief account on the segmented Chinese stock markets. The indexes of A shares, i.e. shares on the domestic market sold only to domestic investors and the H share index, i.e. foreign shares sold on a foreign stock market, Hong Kong, and sold only to foreigners are compared. With time, the Chinese government is opening up its stock market more and more and allowing more interaction between local and domestic stock markets, but one step at a time. Three major attempts to open up the markets are described and investigated on their effect on the integration of the H share market and the A share market. We checked for the introduction of CEPA, QDII and “through train”. \r\nThe tests applied were ADF test, Engle-Granger cointegration test and Granger causality test. We found no cointegration for the entire sample and in none of the subsamples we used. The findings on the causality relations among the different stock markets don’t confirm any of the four causality relations defined before. We don’t see any unidirectional causality and it changes over time. We cannot confirm the global center hypothesis or the home bias hypothesis, but we can also not claim that the markets are completely segmented and show no correlation among prices. There is a correlation and there are causality links but they change every time the government changes its regulations. However, it is not clear what kind of regulations will make the causality change in which direction.
參考文獻: Anderson, Jonathan, “Bling! Bang! Boom! China’s Stocks Zoom”, Far Eastern Economic Review (2007:10), pp.9-13.\r\n\r\nBailey, Warren, Y. Peter Chung & Jun-koo Kang, “Foreign Ownership Restrictions and Equity Price Premiums: What Drives the Demand for Cross-Border Investments?”, The Journal of Financial and Quantitative Analysis (1999:34), pp. 489-511. \r\n\r\nBergström, Clas & Ellen Tang, “Price Differentials between Different Classes of Stocks: an Empirical Study on Chinese Stock Markets”, Journal of Multinational Financial Management (2001:11), pp. 407-426.\r\n\r\nBrooks, Robert D. & Vanitha Ragunathan, “Returns and Volatility on the Chinese Stock Markets”, Applied Economics Review (2003:13), pp. 747-752.\r\n\r\nChakravarty, Sarkar & Wu, “Information Asymmetry, Market Segmentation and the Pricing of Cross-listed Shares: Theory and Evidence from Chinese A and B Shares”, Journal of International Financial Markets, Institutions and Money (1998:8), pp. 325-355. \r\n\r\nChan, Menkveld & Yang, “Evidence on the Foreign Share Discount Puzzle in China: Liquidity or Information Asymmetry”, (February 2004). EFA 2003 Annual Conference Paper No. 589.\r\n\r\nChiang, Min-Hsien, “The Asymmetric Behavior and Spillover Effects on Stock Index Returns: Evidence on Hong Kong and China”, Pan-pacific Management Review (2001:4), pp. 1-21.\r\n\r\nChong, Terence Tai-Leung & Qian Su, “On the Comovement of A and H Shares”, The Chinese Economy (2006:39), pp. 68-86.\r\n\r\nChui, Andy C.W. & Chuck C.Y. Kwok, “Cross-autocorrelation between A Shares and B Shares in the Chinese Stock Market”, The Journal of Financial Research (1998:21), pp. 333-353.\r\n\r\nDavidson, Russel & James G. MacKinnon, Estimation and Inference in Econometrics, New York : Oxford University Press, 1993.\r\n\r\nDeWoskin Ken & Chris Cooper, “Private Equity transforms China”, Far Eastern Economic Review (2008:171), pp.7-12.\r\n\r\nEun, Cheul S. & Wei Huang, “Asset Pricing in China’s Domestic Stock Markets: Is there a Logic ?”, Pacific- Basin Finance Journal (2007:15), pp.452-480. \r\n\r\nGroenewold, Nicolaas, Sam Hak Kan Tang & Yanrui Wu, “The Dynamic Interrelationships between the Greater China Share Markets”, China Economic Review (2004:15), pp. 45-62.\r\n\r\nGujarati, Damodar N., Basic Econometrics, New York: Mc Graw-Hill, 2003.\r\n\r\nHeaney, Powell & Shi, “Share Return Seasonalities and Price Linkages of Chinese A and B Shares”, Review of Pacific Basin Financial Markets and Policies (1999:2), pp. 205-229.\r\n\r\nHuang, Guihai & Frank M. Song, “The Financial and Operating Performance of China’s Newly Listed H-firms”, Pacific-Basin Finance Journal (2005:13), pp. 53-80.\r\n\r\nKutan, Ali M., “Contagion or Real Linkages? Some Evidence from China’s Emerging Parallel Markets”, China & World Economy (2007:15), pp.52-65.\r\n\r\nLee, Joseph & Joanna Poon, “Convergence of A-share and H-share Prices”, Research paper 19, Research Department of the Supervision of Markets Division, 2005.\r\n\r\nLi, Yuming, Joseph F. Greco & Betty Chavis, “Lead-lag Relations between A Shares and H Shares in the Chinese Stock Markets”, Technical Report (2000), California State University, Fullerton.\r\n\r\nLi, Yuming, Daying Yan & Joe Greco, “Market Segmentation and Price Differentials between A Shares and H Shares in the Chinese Stock Markets”, Journal of Multinational Financial Management (2006:16), pp. 232-248.\r\n\r\nLin Jin-Lung & Chung-Shu Wu, “Modeling China’s Stock Markets and International Linkages”, Journal of the Chinese Statistical Association (2006:44), pp. 1-31.\r\n\r\nLong, Payne & Feng, “Information Transmission in the Shanghai Equity Market”, The Journal of Financial Research (1999:22), pp. 29-45.\r\n\r\nMak, Billy S.C. & Asta M.S. Ngai, “Market Linkage for Dual-Listed Chinese Stocks”, The Chinese Economy (2005:38), pp. 88-107.\r\n\r\nMc Guiness, Paul, “Reform in China’s "B’ Share Markets and the Shrinking A/B Share Price Differential”, Applied Economics Letters (2002:9) pp. 705-709.\r\n\r\nPoon, Winnie P. H., Michael Firth & Hung-Gay Fung, “Asset pricing in Segmented Capital Markets: Preliminary Evidence from China- domiciled Companies”, Pacific-Basin Finance Journal (1998:6), pp. 307-319.\r\n\r\nQian, Su, Terence Tai-Leung Chong & Isabel Kit-Ming Yan, “On the Convergence of the Chinese and Hong Kong Stock Markets: a Cointegration Analysis of the A and H shares”, Applied Financial Economics (2007:17), pp. 1349-1357.\r\n\r\nRamsamy, Bala & Matthew C.H. Yeung, “The Causality between Stock Returns and Exchange Rates: Revisited”, Australian Economic Papers (2005:44), pp.162-169.\r\n\r\nShen, Chung-Hua, Chien-Fu Chen & Li-Hsueh Chen, “An Empirical Study of the Asymmetric Cointegration Relationships among the Chinese Stock Markets”, Applied Economics (2007:39), pp. 1433-1445. \r\n\r\nSun, Qian & Wilson H.S. Tong, “The Effect of Market Segmentation on Stock Prices: The China syndrome”, Journal of Banking & Finance (2000:24), pp.1875-1902.\r\n\r\nTian, Gary Gang, “Are Chinese Stock Markets Increasing Integration with other Markets in the Greater China Region and other major Markets?”, Australian Economic Papers (2007:46), pp. 240-253.\r\n\r\nTian, Gary Gang & Guang Hua Wan, “Interaction among China-related stocks: evidence from a causality test with a new procedure”, Applied Financial Economics (2004:14), pp. 67-72.\r\n\r\nYang, Jian, “Market Segmentation and Information Asymmetry in Chinese Stock markets: a VAR analysis”, The Financial Review (2003:38), pp. 591-609.\r\n\r\nZhang, Yimin & Ronald Zhao, “Risk under One Country and Two Systems: Evidence from Class A, B and h Shares of Chinese Listed Companies”, Review of Pacific Basin Financial Markets and Policies (2003:6), pp. 179-197.\r\n\r\nZhu, Li & Xu, “Discount between H Share and A Share from the Perspective of China”, China Business Review (Journal) (2004:3), pp. 1537-1506.\r\n\r\nMedia articles\r\nJamil Anderlini , “China signals it could ease share curbs”, Financial Times, March 6, 2008.\r\n\r\nSun, Ed, “Red Chip Rethink”, International Financial Law Review (2007:26).\r\n\r\n“‘H’ Shares in Headlights as China opens HK”, Euroweek (2007:1018) Special Section, p.6.\r\n\r\n“Red Chips wait for Chinese Go-ahead”, International Financial Law Review (2007: 26).\r\n\r\n « 中國QDII實際匯出資金逾350億美元 », 第一財經日報 2008-04-02.\r\n\r\nChinese articles\r\nCao Chuanqi 曹傳琪, « A - H股聯動性實證研究», Group Economy 上市公司 (2007 :241), p. 254.\r\n\r\nGao Yu & Xu Miao 高宇 & 徐淼, « A股 、H股市場價格差異及影響因素的實證分析 », Investment Stock & Insurance 投資證券保險 (2007 :10), pp. 31-32.\r\n\r\nLi Dawei 李大偉, « A股H股收益率和潑動率研究 »,Finance and Trade Economics財貿經濟 (2003 :12), pp.50-52.\r\n\r\nLi Zhiqiang 李志強, « 誰決定H股的走勢 – 基於中企指數與香港 、大陸市場指數的協整分析 », 數理統計與管理 (2005 :7), pp.322-325.\r\n\r\nTian Yinghua & Zhang Deng 田映華 & 張登, « A股H股價格差異的影響因素, Contemporary Economics 經濟生活 (2007 :8), pp.34-35.\r\n\r\nYao Ning姚寧 « 交叉上市和價格發現:中國A股和H股的實證研究 », Journal of Inner Mongolia Agricultural University內蒙古農業大學學報 (2007:9), pp. 63-65.\r\n\r\nWebsites\r\n\r\nChina Securities Regulatory Commission http://www.csrc.gov.cn \r\n(last accessed February 27, 2008)\r\n\r\nHong Kong Exchanges and Clearing Limited http://www.hkex.com.hk \r\n(last accessed March 4, 2008)\r\n\r\nState Administration of Foreign Exchange http://www.safe.gov.cn\r\n(last accessed March 4, 2008)\r\n\r\n“QDII” http://www.chinadaily.com.cn/bizchina/2006-09/26/content_696730.htm \r\n(last accessed February 29, 2008)\r\n\r\n“Taking Stock” http://www.chinadaily.com.cn/bizchina/2008-02/18/content_6463525.htm \r\n(last accessed February 29, 2008)\r\n\r\nNYSE Euronext, investor relations, \r\nhttp://ir.nyse.com/phoenix.zhtml?c=129145&p=irol-newsArticle_Print&ID=1083142&highlight= (last accessed February 27, 2008)
描述: 碩士
國立政治大學
金融研究所
95352035
資料來源: http://thesis.lib.nccu.edu.tw/record/#G0095352035
資料類型: thesis
Appears in Collections:學位論文

Files in This Item:
File SizeFormat
index.html115 BHTML2View/Open
Show full item record

Google ScholarTM

Check


Items in DSpace are protected by copyright, with all rights reserved, unless otherwise indicated.