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題名 中國股市與美國股市之共移性
Co-movements between Chinese and American Stock Markets作者 張瑀宸 貢獻者 郭炳伸<br>林信助
張瑀宸關鍵詞 共移性
美國存託憑證
潛在變數模型
競爭性衝擊
全球性衝擊
Co-movement
ADR
Latent variables model
Competitive shocks
Global shocks日期 2011 上傳時間 30-Oct-2012 16:03:18 (UTC+8) 摘要 本文目的在探討中國與美國股票市場的共移性。利用2005 年至2010 年的資料,建立中國股票在紐約證券交易所的美國存託憑證投資組合及美國股票相對應產業的投資組合,並計算它們二者間在日間以及夜間的報酬。這個分析結果顯示,中國股市和美國股市會因為不同的市場資訊和影響規模,而有一定程度的相關性。此外,透過建立二階段潛在變數模型,在文中進一步推論出競爭性衝擊是影響兩國間股票市場共移性的主因。然而,市場對人民幣與美元匯率、美國國庫券利率報酬變化的衝擊有落後效果。而此結果可以為國際投資組合的風險分散提供更細部的訊息。
This paper investigates stock market co-movements betweenthe the U.S. and China.We construct daytime and overnight returns for a portfolio of Chinese stocks using theirNYSE-traded ADRs and an industry-matched portfolio of American stocks between2005 and 2010. The results show that Chinese stock market is linked to American stockmarket through di erent sources and magnitudes of shocks. The analysis, based on thetwo-stage latent variables regression, further indicates that the market correlations be-tween China and the U.S. mostly come from competitive shocks. However, competitiveshocks of the Yuan/Dollar foreign exchange rate and Treasury bill returns have laggede ects on the markets. The classi cations of shocks into competitive and global onessuggest a ner information for international risk diversi cation.參考文獻 Becker, K. G., J. E. Finnerty, and A. L. Tucker (1992): “The IntradayInterdependence Structure between U.S. and Japanese Equity Markets,” Journalof Financial Research, 15(1), 27–37.Bekaert, G., and C. R. Harvey (2003): “Market Integration and Contagion,”Working Paper 9510, National Bureau of Economic Research.Chui, A. C. W., and C. C. Y. Kwok (1998): “Cross-Autocorrelation betweenA Shares and B Shares in the Chinese Stock Market,” Journal of FinancialResearch, 21(3), 333–53.Goetzmann, W. N., L. Li, and K. G. Rouwenhorst (2001): “Long-TermGlobal Market Correlations,” NBER Working Papers 8612, National Bureau ofEconomic Research, Inc.Hamao, Y., R. W. Masulis, and V. Ng (1990): “Correlations in Price Changes and Volatility across International Stock Markets,” Review of Financial Studies,3(2), 281–307.Huang, B.-N., C.-W. Yang, and J. W.-S. Hu (2000): “Causality and cointegrationof stock markets among the United States, Japan and the South ChinaGrowth Triangle,” International Review of Financial Analysis, 9(3), 281 – 297.Johnson, R., and L. Soenen (2002): “Asian Economic Integration and StockMarket Comovement,” Journal of Financial Research, 25(1), 141–157.Kang, J., M.-H. Liu, and S. X. Ni (2002): “Contrarian and momentum strategiesin the China stock market: 1993-2000,” Paci c-Basin Finance Journal,10(3), 243–265.Karolyi, G. A., and R. M. Stulz (1996): “Why Do Markets Move Together?An Investigation of U.S.-Japan Stock Return Comovements,” Journal of Fi-nance, 51(3), 951–86.MacKinlay, A., and K. Ramaswamy (1988): “Index-futures arbitrage andthe behavior of stock index futures prices,” Review of Financial Studies, 1(2),137–158.Pindyck, R. S., and J. J. Rotemberg (1990): “The Excess Co-movement ofCommodity Prices,” Economic Journal, 100(403), 1173–89.Ripley, D. M. (1973): “Systematic Elements in the Linkage of National StockMarket Indices,” The Review of Economics and Statistics, 55(3), 356–61.Shih, M.-L., S.-H. Hsiao, and F.-S. Chen (2007): “The Association of StockIndex among the market of China, US., and Japan,” Convergence InformationTechnology, International Conference on, 0, 2276–2285.Theodossiou, P., and U. Lee (1993): “Mean and Volatility Spillovers acrossMajor National Stock Markets: Further Empirical Evidence,” Journal of Finan-cial Research, 16(4), 337–50. 描述 碩士
國立政治大學
國際經營與貿易研究所
99351002
100資料來源 http://thesis.lib.nccu.edu.tw/record/#G0099351002 資料類型 thesis dc.contributor.advisor 郭炳伸<br>林信助 zh_TW dc.contributor.author (Authors) 張瑀宸 zh_TW dc.creator (作者) 張瑀宸 zh_TW dc.date (日期) 2011 en_US dc.date.accessioned 30-Oct-2012 16:03:18 (UTC+8) - dc.date.available 30-Oct-2012 16:03:18 (UTC+8) - dc.date.issued (上傳時間) 30-Oct-2012 16:03:18 (UTC+8) - dc.identifier (Other Identifiers) G0099351002 en_US dc.identifier.uri (URI) http://nccur.lib.nccu.edu.tw/handle/140.119/55093 - dc.description (描述) 碩士 zh_TW dc.description (描述) 國立政治大學 zh_TW dc.description (描述) 國際經營與貿易研究所 zh_TW dc.description (描述) 99351002 zh_TW dc.description (描述) 100 zh_TW dc.description.abstract (摘要) 本文目的在探討中國與美國股票市場的共移性。利用2005 年至2010 年的資料,建立中國股票在紐約證券交易所的美國存託憑證投資組合及美國股票相對應產業的投資組合,並計算它們二者間在日間以及夜間的報酬。這個分析結果顯示,中國股市和美國股市會因為不同的市場資訊和影響規模,而有一定程度的相關性。此外,透過建立二階段潛在變數模型,在文中進一步推論出競爭性衝擊是影響兩國間股票市場共移性的主因。然而,市場對人民幣與美元匯率、美國國庫券利率報酬變化的衝擊有落後效果。而此結果可以為國際投資組合的風險分散提供更細部的訊息。 zh_TW dc.description.abstract (摘要) This paper investigates stock market co-movements betweenthe the U.S. and China.We construct daytime and overnight returns for a portfolio of Chinese stocks using theirNYSE-traded ADRs and an industry-matched portfolio of American stocks between2005 and 2010. The results show that Chinese stock market is linked to American stockmarket through di erent sources and magnitudes of shocks. The analysis, based on thetwo-stage latent variables regression, further indicates that the market correlations be-tween China and the U.S. mostly come from competitive shocks. However, competitiveshocks of the Yuan/Dollar foreign exchange rate and Treasury bill returns have laggede ects on the markets. The classi cations of shocks into competitive and global onessuggest a ner information for international risk diversi cation. en_US dc.description.tableofcontents 1. Introduction.........12.Methodology..........72.1 A simple framework of cross-country comovement.....72.2 Latent variable regression model.....103. Sample Data and Basic Statistic........134. Empirical Results..........174.1 Intraday and Overnight Return Correlations between the Chinese and American Industry-Matched Stock Portfolios...174.2 Estimating the Impact of Shocks on the Comovement of Returns................204.2.1 Implications for International Diversi cation........235. Conclusion..............26 zh_TW dc.language.iso en_US - dc.source.uri (資料來源) http://thesis.lib.nccu.edu.tw/record/#G0099351002 en_US dc.subject (關鍵詞) 共移性 zh_TW dc.subject (關鍵詞) 美國存託憑證 zh_TW dc.subject (關鍵詞) 潛在變數模型 zh_TW dc.subject (關鍵詞) 競爭性衝擊 zh_TW dc.subject (關鍵詞) 全球性衝擊 zh_TW dc.subject (關鍵詞) Co-movement en_US dc.subject (關鍵詞) ADR en_US dc.subject (關鍵詞) Latent variables model en_US dc.subject (關鍵詞) Competitive shocks en_US dc.subject (關鍵詞) Global shocks en_US dc.title (題名) 中國股市與美國股市之共移性 zh_TW dc.title (題名) Co-movements between Chinese and American Stock Markets en_US dc.type (資料類型) thesis en dc.relation.reference (參考文獻) Becker, K. G., J. E. Finnerty, and A. L. Tucker (1992): “The IntradayInterdependence Structure between U.S. and Japanese Equity Markets,” Journalof Financial Research, 15(1), 27–37.Bekaert, G., and C. R. Harvey (2003): “Market Integration and Contagion,”Working Paper 9510, National Bureau of Economic Research.Chui, A. C. W., and C. C. Y. Kwok (1998): “Cross-Autocorrelation betweenA Shares and B Shares in the Chinese Stock Market,” Journal of FinancialResearch, 21(3), 333–53.Goetzmann, W. N., L. Li, and K. G. Rouwenhorst (2001): “Long-TermGlobal Market Correlations,” NBER Working Papers 8612, National Bureau ofEconomic Research, Inc.Hamao, Y., R. W. Masulis, and V. Ng (1990): “Correlations in Price Changes and Volatility across International Stock Markets,” Review of Financial Studies,3(2), 281–307.Huang, B.-N., C.-W. Yang, and J. W.-S. Hu (2000): “Causality and cointegrationof stock markets among the United States, Japan and the South ChinaGrowth Triangle,” International Review of Financial Analysis, 9(3), 281 – 297.Johnson, R., and L. Soenen (2002): “Asian Economic Integration and StockMarket Comovement,” Journal of Financial Research, 25(1), 141–157.Kang, J., M.-H. Liu, and S. X. Ni (2002): “Contrarian and momentum strategiesin the China stock market: 1993-2000,” Paci c-Basin Finance Journal,10(3), 243–265.Karolyi, G. A., and R. M. Stulz (1996): “Why Do Markets Move Together?An Investigation of U.S.-Japan Stock Return Comovements,” Journal of Fi-nance, 51(3), 951–86.MacKinlay, A., and K. Ramaswamy (1988): “Index-futures arbitrage andthe behavior of stock index futures prices,” Review of Financial Studies, 1(2),137–158.Pindyck, R. S., and J. J. Rotemberg (1990): “The Excess Co-movement ofCommodity Prices,” Economic Journal, 100(403), 1173–89.Ripley, D. M. (1973): “Systematic Elements in the Linkage of National StockMarket Indices,” The Review of Economics and Statistics, 55(3), 356–61.Shih, M.-L., S.-H. Hsiao, and F.-S. Chen (2007): “The Association of StockIndex among the market of China, US., and Japan,” Convergence InformationTechnology, International Conference on, 0, 2276–2285.Theodossiou, P., and U. Lee (1993): “Mean and Volatility Spillovers acrossMajor National Stock Markets: Further Empirical Evidence,” Journal of Finan-cial Research, 16(4), 337–50. zh_TW