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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 11:50:15 (UTC+8) 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”. The 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. Bailey, 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. Bergström, 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. Brooks, Robert D. & Vanitha Ragunathan, “Returns and Volatility on the Chinese Stock Markets”, Applied Economics Review (2003:13), pp. 747-752. Chakravarty, 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. Chan, Menkveld & Yang, “Evidence on the Foreign Share Discount Puzzle in China: Liquidity or Information Asymmetry”, (February 2004). EFA 2003 Annual Conference Paper No. 589. Chiang, 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. Chong, Terence Tai-Leung & Qian Su, “On the Comovement of A and H Shares”, The Chinese Economy (2006:39), pp. 68-86. Chui, 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. Davidson, Russel & James G. MacKinnon, Estimation and Inference in Econometrics, New York : Oxford University Press, 1993. DeWoskin Ken & Chris Cooper, “Private Equity transforms China”, Far Eastern Economic Review (2008:171), pp.7-12. Eun, 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. Groenewold, Nicolaas, Sam Hak Kan Tang & Yanrui Wu, “The Dynamic Interrelationships between the Greater China Share Markets”, China Economic Review (2004:15), pp. 45-62. Gujarati, Damodar N., Basic Econometrics, New York: Mc Graw-Hill, 2003. Heaney, 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. Huang, 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. Kutan, Ali M., “Contagion or Real Linkages? Some Evidence from China’s Emerging Parallel Markets”, China & World Economy (2007:15), pp.52-65. Lee, Joseph & Joanna Poon, “Convergence of A-share and H-share Prices”, Research paper 19, Research Department of the Supervision of Markets Division, 2005. Li, 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. Li, 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. Lin Jin-Lung & Chung-Shu Wu, “Modeling China’s Stock Markets and International Linkages”, Journal of the Chinese Statistical Association (2006:44), pp. 1-31. Long, Payne & Feng, “Information Transmission in the Shanghai Equity Market”, The Journal of Financial Research (1999:22), pp. 29-45. Mak, Billy S.C. & Asta M.S. Ngai, “Market Linkage for Dual-Listed Chinese Stocks”, The Chinese Economy (2005:38), pp. 88-107. Mc 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. Poon, 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. Qian, 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. Ramsamy, Bala & Matthew C.H. Yeung, “The Causality between Stock Returns and Exchange Rates: Revisited”, Australian Economic Papers (2005:44), pp.162-169. Shen, 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. Sun, 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. Tian, 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. Tian, 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. Yang, Jian, “Market Segmentation and Information Asymmetry in Chinese Stock markets: a VAR analysis”, The Financial Review (2003:38), pp. 591-609. Zhang, 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. Zhu, Li & Xu, “Discount between H Share and A Share from the Perspective of China”, China Business Review (Journal) (2004:3), pp. 1537-1506. Media articles Jamil Anderlini , “China signals it could ease share curbs”, Financial Times, March 6, 2008. Sun, Ed, “Red Chip Rethink”, International Financial Law Review (2007:26). “‘H’ Shares in Headlights as China opens HK”, Euroweek (2007:1018) Special Section, p.6. “Red Chips wait for Chinese Go-ahead”, International Financial Law Review (2007: 26). « 中國QDII實際匯出資金逾350億美元 », 第一財經日報 2008-04-02. Chinese articles Cao Chuanqi 曹傳琪, « A - H股聯動性實證研究», Group Economy 上市公司 (2007 :241), p. 254. Gao 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. Li 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. Li 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. Tian 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. Yao 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. Websites China Securities Regulatory Commission http://www.csrc.gov.cn (last accessed February 27, 2008) Hong Kong Exchanges and Clearing Limited http://www.hkex.com.hk (last accessed March 4, 2008) State Administration of Foreign Exchange http://www.safe.gov.cn (last accessed March 4, 2008) “QDII” http://www.chinadaily.com.cn/bizchina/2006-09/26/content_696730.htm (last accessed February 29, 2008) “Taking Stock” http://www.chinadaily.com.cn/bizchina/2008-02/18/content_6463525.htm (last accessed February 29, 2008) NYSE Euronext, investor relations, http://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 dc.contributor.advisor 朱浩民 zh_TW dc.contributor.advisor Chu,Hau Min en_US dc.contributor.author (Authors) 安娜琳 zh_TW dc.contributor.author (Authors) Anneleen Van Landeghem en_US dc.creator (作者) 安娜琳 zh_TW dc.creator (作者) Landeghem, Anneleen Van en_US dc.date (日期) 2008 en_US dc.date.accessioned 9-May-2016 11:50:15 (UTC+8) - dc.date.available 9-May-2016 11:50:15 (UTC+8) - dc.date.issued (上傳時間) 9-May-2016 11:50:15 (UTC+8) - dc.identifier (Other Identifiers) G0095352035 en_US dc.identifier.uri (URI) http://nccur.lib.nccu.edu.tw/handle/140.119/94768 - dc.description (描述) 碩士 zh_TW dc.description (描述) 國立政治大學 zh_TW dc.description (描述) 金融研究所 zh_TW dc.description (描述) 95352035 zh_TW dc.description.abstract (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”. The 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. zh_TW dc.description.tableofcontents 1. Introduction 5 1.1 Introduction 5 1.2 The Structure of the Study 6 2. The Chinese Stock Market: a Brief Account 8 2.1 The Domestic Market 8 2.1.1 A Shares 9 2.1.2 B Shares 10 2.2 The Chinese Foreign Shares 11 2.2.1 H Shares 11 2.2.2 Red Chips 12 2.2.3 N and S Shares 15 2.3 The Investors 15 2.3.1 Qualified Foreign Insitutional Investors (QFII) 16 2.3.2 Qualified Domestic Investment Institutions (QDII) 17 2.4 Imperfect Segmentation 18 3 Literature Review 20 3.1 Introduction 20 3.2 Explanations for the Price Differentials 20 3.2.1 Risk Premium 20 3.2.2 Liquidity Problem 23 3.2.3 Limited Investment Opportunities 24 3.2.4 Information Transmission 26 3.2.5 Comovement 31 3.3 Conclusion 33 4 Empirical Study 35 4.1 Data 35 4.1.1 Data Description 35 4.1.2 Graphical Representation 35 4.1.3 Identification of Subsample Periods 36 4.2 Methodology 39 4.3 Empirical Results 43 4.3.1 Unit Root Test 43 4.3.2 Engle-Granger Cointegration Test 44 4.3.3 Granger Causality Test 46 4.4 Conclusion of Empirical Study 49 5 Conclusion 51 5.1 Conclusion 51 5.2 Further Research Directions 52 References 53 zh_TW dc.source.uri (資料來源) http://thesis.lib.nccu.edu.tw/record/#G0095352035 en_US dc.subject (關鍵詞) A股 zh_TW dc.subject (關鍵詞) H股 zh_TW dc.subject (關鍵詞) 互動關係 zh_TW dc.subject (關鍵詞) Comovement en_US dc.subject (關鍵詞) China en_US dc.subject (關鍵詞) A share en_US dc.subject (關鍵詞) H share en_US dc.title (題名) A股和H股互動關係研究 zh_TW dc.title (題名) On the Comovement of the Chinese A and H Shares en_US dc.type (資料類型) thesis en_US dc.relation.reference (參考文獻) Anderson, Jonathan, “Bling! Bang! Boom! China’s Stocks Zoom”, Far Eastern Economic Review (2007:10), pp.9-13. Bailey, 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. Bergström, 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. Brooks, Robert D. & Vanitha Ragunathan, “Returns and Volatility on the Chinese Stock Markets”, Applied Economics Review (2003:13), pp. 747-752. Chakravarty, 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. Chan, Menkveld & Yang, “Evidence on the Foreign Share Discount Puzzle in China: Liquidity or Information Asymmetry”, (February 2004). EFA 2003 Annual Conference Paper No. 589. Chiang, 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. Chong, Terence Tai-Leung & Qian Su, “On the Comovement of A and H Shares”, The Chinese Economy (2006:39), pp. 68-86. Chui, 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. Davidson, Russel & James G. MacKinnon, Estimation and Inference in Econometrics, New York : Oxford University Press, 1993. DeWoskin Ken & Chris Cooper, “Private Equity transforms China”, Far Eastern Economic Review (2008:171), pp.7-12. Eun, 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. Groenewold, Nicolaas, Sam Hak Kan Tang & Yanrui Wu, “The Dynamic Interrelationships between the Greater China Share Markets”, China Economic Review (2004:15), pp. 45-62. Gujarati, Damodar N., Basic Econometrics, New York: Mc Graw-Hill, 2003. Heaney, 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. Huang, 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. Kutan, Ali M., “Contagion or Real Linkages? Some Evidence from China’s Emerging Parallel Markets”, China & World Economy (2007:15), pp.52-65. Lee, Joseph & Joanna Poon, “Convergence of A-share and H-share Prices”, Research paper 19, Research Department of the Supervision of Markets Division, 2005. Li, 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. Li, 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. Lin Jin-Lung & Chung-Shu Wu, “Modeling China’s Stock Markets and International Linkages”, Journal of the Chinese Statistical Association (2006:44), pp. 1-31. Long, Payne & Feng, “Information Transmission in the Shanghai Equity Market”, The Journal of Financial Research (1999:22), pp. 29-45. Mak, Billy S.C. & Asta M.S. Ngai, “Market Linkage for Dual-Listed Chinese Stocks”, The Chinese Economy (2005:38), pp. 88-107. Mc 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. Poon, 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. Qian, 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. Ramsamy, Bala & Matthew C.H. Yeung, “The Causality between Stock Returns and Exchange Rates: Revisited”, Australian Economic Papers (2005:44), pp.162-169. Shen, 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. Sun, 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. Tian, 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. Tian, 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. Yang, Jian, “Market Segmentation and Information Asymmetry in Chinese Stock markets: a VAR analysis”, The Financial Review (2003:38), pp. 591-609. Zhang, 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. Zhu, Li & Xu, “Discount between H Share and A Share from the Perspective of China”, China Business Review (Journal) (2004:3), pp. 1537-1506. Media articles Jamil Anderlini , “China signals it could ease share curbs”, Financial Times, March 6, 2008. Sun, Ed, “Red Chip Rethink”, International Financial Law Review (2007:26). “‘H’ Shares in Headlights as China opens HK”, Euroweek (2007:1018) Special Section, p.6. “Red Chips wait for Chinese Go-ahead”, International Financial Law Review (2007: 26). « 中國QDII實際匯出資金逾350億美元 », 第一財經日報 2008-04-02. Chinese articles Cao Chuanqi 曹傳琪, « A - H股聯動性實證研究», Group Economy 上市公司 (2007 :241), p. 254. Gao 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. Li 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. Li 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. Tian 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. Yao 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. Websites China Securities Regulatory Commission http://www.csrc.gov.cn (last accessed February 27, 2008) Hong Kong Exchanges and Clearing Limited http://www.hkex.com.hk (last accessed March 4, 2008) State Administration of Foreign Exchange http://www.safe.gov.cn (last accessed March 4, 2008) “QDII” http://www.chinadaily.com.cn/bizchina/2006-09/26/content_696730.htm (last accessed February 29, 2008) “Taking Stock” http://www.chinadaily.com.cn/bizchina/2008-02/18/content_6463525.htm (last accessed February 29, 2008) NYSE Euronext, investor relations, http://ir.nyse.com/phoenix.zhtml?c=129145&p=irol-newsArticle_Print&ID=1083142&highlight= (last accessed February 27, 2008) zh_TW
