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題名 滬港通有助於滬市理性化嗎？從磁吸現象角度探討
Can Shanghai-Hong Kong Stock Connect help rationalize Shanghai stock market? From the perspective of magnet effect
作者 黃璟然
貢獻者 湛可南
黃璟然
關鍵詞 滬港通
漲跌幅限制
磁吸現象
Shanghai-Hong Kong Stock Connect
Price limits
Magnet effect
日期 2016
上傳時間 8-Feb-2017 16:33:39 (UTC+8)
摘要 上海證券交易所與香港聯合交易所於2014年11月17日啟動滬港通計劃，允許兩地投資者在本地交易所買賣對方市場的股票。本文試圖以漲跌幅限制之磁吸現象探討滬港通對上海股市的影響。文章延用Hsieh, Kim and Yang(2009)之Logit回歸，將參與滬股通之股票以換手率與市值區分，藉以檢測不同組合股票之磁吸現象。研究結果顯示，在樣本期間發現當較高市值股票漲幅達9.5%以上出現磁吸現象，當較低市值股票漲幅達9%以上出現冷卻現象。而兩種組合的股票跌幅達6%以上時均出現反轉效果。為比較滬港通前後之變化，本文加入虛擬變數以區分事件前後，研究結果顯示，滬港通啟動後較高市值股票跌幅達9.5%以上、較低市值股票漲幅達8%以上時出現磁吸現象，冷卻現象消失，可得知滬港通並沒有產生理性作用。本文發現已在兩地上市之A+H股的磁吸現象在滬港通啟動後消失，可推測資訊不對稱及交易規則讓A股的外國投資者無法選擇最佳策略，而雙重上市股票則可以讓其於價格觸發漲跌幅限制前調整交易策略。
SSE and HKEX have provided Shanghai-Hong Kong Stock Connect since Nov. 17th, 2014, which allows investors in one market to trade shares listed on the other market through their local brokers. The article attempts to discuss the impact of Shanghai-Hong Kong Stock Connect on Shanghai stock market from the perspective of the magnet effect. Using a logit model proposed by Hsieh, Kim and Yang (2009), the thesis classifies the stocks as turnover rate and market capitalization, examining the magnet effect with different portfolios. The results demonstrate that the magnet effect appears as the price of large stocks increases 9.5% while the cool-off effect initiates as the price of small stocks decreases 9%. Reversal effect is found in both large and small stock when the decline of the price exceeds 6%. Moreover, a dummy variable is introduced in the regression to capture the difference made by the Connect. The evidence of magnet effect is shown respectively when the price of large stocks decreases 9.5% and when the price of small stocks decreases 8% after the Connect launched. Price limits fail to cool off the market. Therefore, the program may not rationalize Shanghai stock market. Due to the disappearance of magnet effect on A+H shares after the link between two markets, the thesis conjectures the program may provide an opportunity to switch to Hong Kong market before the price crosses the limit bound. However, information disadvantage and strict trading rules force foreign investors trading on A-shares to make suboptimal strategies.
參考文獻 Bekaert, G., & Harvey, C. R. (1997). Emerging equity market volatility. Journal of Financial Economics, 43(1), 29-77.
Brennan, M. J., & Cao, H. H. (1997). International portfolio investment flows. Journal of Finance, 52(5), 1851-1880.
Chakravarty, S., Sarkar, A., & Wu, L. (1998). 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, 8(3), 325-356.
Cho, D. D., Russell, J., Tiao, G. C., & Tsay, R. (2003). The magnet effect of price limits: Evidence from high-frequency data on Taiwan Stock Exchange. Journal of Empirical Finance, 10(1), 133-168.
Choe, H., Kho, B. C., & Stulz, R. M. (1999). Do foreign investors destabilize stock markets? The Korean experience in 1997. Journal of Financial Economics, 54(2), 227-264.
Chen, J., Hong, H., & Stein, J. C. (2001). Forecasting crashes: Trading volume, past returns, and conditional skewness in stock prices. Journal of Financial Economics, 61(3), 345-381.
Easley, D., & O`hara, M. (1987). Price, trade size, and information in securities markets. Journal of Financial Economics, 19(1), 69-90.
Easley, D., & O`hara, M. (1992). Time and the process of security price adjustment. Journal of Finance, 47(2), 577-605.
Fama, E. F. (1989). Perspectives on October 1987, or what did we learn from the crash? In Kamphuis Jr., R.W., Kormendi, R.C., Henry Watson, J.W. (eds.), Black Monday and the Future of the Financial Markets. (Chicago: The Mid-America Institute for Public Policy Research)
Frenkel, M., & Menkhoff, L. (2004). Are foreign institutional investors good for emerging markets? The World Economy, 27(8), 1275-1293.
Glosten, L. R. (1987). Components of the bid-ask spread and the statistical properties of transaction prices. Journal of Finance, 42(5), 1293-1307.
Glosten, L. R., & Harris, L. E. (1988). Estimating the components of the bid/ask spread. Journal of Financial Economics, 21(1), 123-142.
Harris, L., (1990). Liquidity, trading rules, and electronic trading systems. New York University Salomon Center Monograph Series in Finance, 1990-4.
Hausman, J. A., Lo, A. W., & MacKinlay, A. C. (1992). An ordered probit analysis of transaction stock prices. Journal of Financial Economics, 31(3), 319-379.
Hsieh, P. H., Kim, Y. H., & Yang, J. J. (2009). The magnet effect of price limits: A logit approach. Journal of Empirical Finance, 16(5), 830-837.
Kang, J. K., & Stulz, R. M. (1997). Why is there a home bias? An analysis of foreign portfolio equity ownership in Japan. Journal of Financial Economics, 46(1), 3-28.
Kim, K. A., & Rhee, S. (1997). Price limit performance: evidence from the Tokyo Stock Exchange. Journal of Finance, 52(2), 885-901.
Kim, E. H., & Singal, V. (2000). Stock market openings: Experience of emerging economies. Journal of Business, 73(1), 25-66.
Kyle, A. S. (1985). Continuous auctions and insider trading. Econometrica: Journal of the Econometric Society, 1315-1335.
Lehmann, B. N. (1989). Commentary: Volatility, price resolution, and the effectiveness of price limits. Journal of Financial Services Research, 3(2-3), 205-209.
Mei, J., Scheinkman, J., & Xiong, W. (2005). Speculative trading and stock prices: Evidence from Chinese AB share premia. NBER Working Paper Series, 11362.
Scheinkman, J. A., & Xiong, W. (2003). Overconfidence and speculative bubbles. Journal of Political Economy, 111(6), 1183-1220.
Subrahmanyam, A. (1994). Circuit breakers and market volatility: A theoretical perspective. Journal of Finance, 49(1), 237-254.
Wong, W. K., Liu, B., & Zeng, Y. (2009). Can price limits help when the price is falling? Evidence from transactions data on the Shanghai Stock Exchange. China Economic Review, 20(1), 91-102.
描述 碩士
國立政治大學
財務管理研究所
103357039
資料來源 http://thesis.lib.nccu.edu.tw/record/#G0103357039
資料類型 thesis
dc.contributor.advisor 湛可南zh_TW
dc.contributor.author (Authors) 黃璟然zh_TW
dc.creator (作者) 黃璟然zh_TW
dc.date (日期) 2016en_US
dc.date.accessioned 8-Feb-2017 16:33:39 (UTC+8)-
dc.date.available 8-Feb-2017 16:33:39 (UTC+8)-
dc.date.issued (上傳時間) 8-Feb-2017 16:33:39 (UTC+8)-
dc.identifier (Other Identifiers) G0103357039en_US
dc.identifier.uri (URI) http://nccur.lib.nccu.edu.tw/handle/140.119/106392-
dc.description (描述) 碩士zh_TW
dc.description (描述) 國立政治大學zh_TW
dc.description (描述) 財務管理研究所zh_TW
dc.description (描述) 103357039zh_TW
dc.description.abstract (摘要) 上海證券交易所與香港聯合交易所於2014年11月17日啟動滬港通計劃，允許兩地投資者在本地交易所買賣對方市場的股票。本文試圖以漲跌幅限制之磁吸現象探討滬港通對上海股市的影響。文章延用Hsieh, Kim and Yang(2009)之Logit回歸，將參與滬股通之股票以換手率與市值區分，藉以檢測不同組合股票之磁吸現象。研究結果顯示，在樣本期間發現當較高市值股票漲幅達9.5%以上出現磁吸現象，當較低市值股票漲幅達9%以上出現冷卻現象。而兩種組合的股票跌幅達6%以上時均出現反轉效果。為比較滬港通前後之變化，本文加入虛擬變數以區分事件前後，研究結果顯示，滬港通啟動後較高市值股票跌幅達9.5%以上、較低市值股票漲幅達8%以上時出現磁吸現象，冷卻現象消失，可得知滬港通並沒有產生理性作用。本文發現已在兩地上市之A+H股的磁吸現象在滬港通啟動後消失，可推測資訊不對稱及交易規則讓A股的外國投資者無法選擇最佳策略，而雙重上市股票則可以讓其於價格觸發漲跌幅限制前調整交易策略。zh_TW
dc.description.abstract (摘要) SSE and HKEX have provided Shanghai-Hong Kong Stock Connect since Nov. 17th, 2014, which allows investors in one market to trade shares listed on the other market through their local brokers. The article attempts to discuss the impact of Shanghai-Hong Kong Stock Connect on Shanghai stock market from the perspective of the magnet effect. Using a logit model proposed by Hsieh, Kim and Yang (2009), the thesis classifies the stocks as turnover rate and market capitalization, examining the magnet effect with different portfolios. The results demonstrate that the magnet effect appears as the price of large stocks increases 9.5% while the cool-off effect initiates as the price of small stocks decreases 9%. Reversal effect is found in both large and small stock when the decline of the price exceeds 6%. Moreover, a dummy variable is introduced in the regression to capture the difference made by the Connect. The evidence of magnet effect is shown respectively when the price of large stocks decreases 9.5% and when the price of small stocks decreases 8% after the Connect launched. Price limits fail to cool off the market. Therefore, the program may not rationalize Shanghai stock market. Due to the disappearance of magnet effect on A+H shares after the link between two markets, the thesis conjectures the program may provide an opportunity to switch to Hong Kong market before the price crosses the limit bound. However, information disadvantage and strict trading rules force foreign investors trading on A-shares to make suboptimal strategies.en_US
dc.description.tableofcontents 1. Introduction 1
2. Literature review 4
2.1 Price limits 4
2.2 Market liberalization 6
3. Institutional background 7
4. Methodology and data 8
4.1. Methodology 8
4.2. Data 11
5. Results 12
6. Conclusion 16
Reference 17		zh_TW
dc.format.extent 992352 bytes-
dc.format.mimetype application/pdf-
dc.source.uri (資料來源) http://thesis.lib.nccu.edu.tw/record/#G0103357039en_US
dc.subject (關鍵詞) 滬港通zh_TW
dc.subject (關鍵詞) 漲跌幅限制zh_TW
dc.subject (關鍵詞) 磁吸現象zh_TW
dc.subject (關鍵詞) Shanghai-Hong Kong Stock Connecten_US
dc.subject (關鍵詞) Price limitsen_US
dc.subject (關鍵詞) Magnet effecten_US
dc.title (題名) 滬港通有助於滬市理性化嗎？從磁吸現象角度探討zh_TW
dc.title (題名) Can Shanghai-Hong Kong Stock Connect help rationalize Shanghai stock market? From the perspective of magnet effecten_US
dc.type (資料類型) thesisen_US
dc.relation.reference (參考文獻) Bekaert, G., & Harvey, C. R. (1997). Emerging equity market volatility. Journal of Financial Economics, 43(1), 29-77.
Brennan, M. J., & Cao, H. H. (1997). International portfolio investment flows. Journal of Finance, 52(5), 1851-1880.
Chakravarty, S., Sarkar, A., & Wu, L. (1998). 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, 8(3), 325-356.
Cho, D. D., Russell, J., Tiao, G. C., & Tsay, R. (2003). The magnet effect of price limits: Evidence from high-frequency data on Taiwan Stock Exchange. Journal of Empirical Finance, 10(1), 133-168.
Choe, H., Kho, B. C., & Stulz, R. M. (1999). Do foreign investors destabilize stock markets? The Korean experience in 1997. Journal of Financial Economics, 54(2), 227-264.
Chen, J., Hong, H., & Stein, J. C. (2001). Forecasting crashes: Trading volume, past returns, and conditional skewness in stock prices. Journal of Financial Economics, 61(3), 345-381.
Easley, D., & O`hara, M. (1987). Price, trade size, and information in securities markets. Journal of Financial Economics, 19(1), 69-90.
Easley, D., & O`hara, M. (1992). Time and the process of security price adjustment. Journal of Finance, 47(2), 577-605.
Fama, E. F. (1989). Perspectives on October 1987, or what did we learn from the crash? In Kamphuis Jr., R.W., Kormendi, R.C., Henry Watson, J.W. (eds.), Black Monday and the Future of the Financial Markets. (Chicago: The Mid-America Institute for Public Policy Research)
Frenkel, M., & Menkhoff, L. (2004). Are foreign institutional investors good for emerging markets? The World Economy, 27(8), 1275-1293.
Glosten, L. R. (1987). Components of the bid-ask spread and the statistical properties of transaction prices. Journal of Finance, 42(5), 1293-1307.
Glosten, L. R., & Harris, L. E. (1988). Estimating the components of the bid/ask spread. Journal of Financial Economics, 21(1), 123-142.
Harris, L., (1990). Liquidity, trading rules, and electronic trading systems. New York University Salomon Center Monograph Series in Finance, 1990-4.
Hausman, J. A., Lo, A. W., & MacKinlay, A. C. (1992). An ordered probit analysis of transaction stock prices. Journal of Financial Economics, 31(3), 319-379.
Hsieh, P. H., Kim, Y. H., & Yang, J. J. (2009). The magnet effect of price limits: A logit approach. Journal of Empirical Finance, 16(5), 830-837.
Kang, J. K., & Stulz, R. M. (1997). Why is there a home bias? An analysis of foreign portfolio equity ownership in Japan. Journal of Financial Economics, 46(1), 3-28.
Kim, K. A., & Rhee, S. (1997). Price limit performance: evidence from the Tokyo Stock Exchange. Journal of Finance, 52(2), 885-901.
Kim, E. H., & Singal, V. (2000). Stock market openings: Experience of emerging economies. Journal of Business, 73(1), 25-66.
Kyle, A. S. (1985). Continuous auctions and insider trading. Econometrica: Journal of the Econometric Society, 1315-1335.
Lehmann, B. N. (1989). Commentary: Volatility, price resolution, and the effectiveness of price limits. Journal of Financial Services Research, 3(2-3), 205-209.
Mei, J., Scheinkman, J., & Xiong, W. (2005). Speculative trading and stock prices: Evidence from Chinese AB share premia. NBER Working Paper Series, 11362.
Scheinkman, J. A., & Xiong, W. (2003). Overconfidence and speculative bubbles. Journal of Political Economy, 111(6), 1183-1220.
Subrahmanyam, A. (1994). Circuit breakers and market volatility: A theoretical perspective. Journal of Finance, 49(1), 237-254.
Wong, W. K., Liu, B., & Zeng, Y. (2009). Can price limits help when the price is falling? Evidence from transactions data on the Shanghai Stock Exchange. China Economic Review, 20(1), 91-102.		zh_TW