B股開放政策對中國大陸股票市場效率性有影響嗎？不對稱門檻共整合模型的應用

Does B-Share's Opening Influence the Efficiency of Chinese Stock Market? An Application of Asymmetric Threshold Cointegration

10.6545/JFS.2003.11(3).3

沈中華(Chung-Hua Shen)；陳建福(Chien-Fu Chen)

不對稱門檻共整合 ； 不對稱門檻誤差修正模型 ； 中國大陸股票市場 ； Asymmetric Threshold Cointegration ； Asymmetric Threshold Error Correction Model ； Chinese Stock Markets

財務金融學刊

11卷3期（2003 / 12 / 31）

89 - 119

繁體中文

本文利用Enders and Siklos（2001）不對稱門檻共整合模型，探討中國大陸上海及深圳股市之間長期不對稱的均衡關係，並且分析B股開放政策對大陸股市之間共整合關係的影響。本文主要的實證發現有以下幾點，第一，在傳統Engle-Granger對稱共整合檢定之下，B股開放政策並沒有提高大陸股市之間的連動性，第二，採用Enders and Siklos（2001）不對稍門檻共整合檢定，我們發現B股開放後，大陸股市之間的共整合現象更加強烈。第三，由Granger因果關係檢定，我們發現，在B股開放前，在A股方面，深圳A股領先上海A股；而B股方面，上海B股與深圳B股存在雙向因果關係，但是B股開放後，A股之間並沒有領先落後關係，B股之間也不存在領先落後關係；因此，B股開放政策確實提高大陸A股與B股市場的效率性。第四，在B股正開放後，在上海股市，B股領先A股，而深圳股市方面，則是A股領先B股。在上海或深圳股市中，A股與B股存在領先落後關係，因此，投資人無法利用投資A股或B股來達到分散投資組合風險的目的。

This paper uses the Enders and Siklos (2001) asymmetric threshold cointegration test to examine the long run asymmetric equilibrium relationships among Chinese Shanghai and Shenzhen stock markets. We investigate the impact of B share opening on the cointegrated relationship among Chinese stock markets. The estimated results are as follows. First, using conventional Engle-Granger symmetric cointegration test, the B-shares's openning does not reinforce the co-movement among Chinese stock markets. Second, using Enders-Siklos asymmetric threhold cointegration test indicate the B -shares's opening induces the cointegration among Chinese stock marekts. Third, using Granger causality test, Shenzhen A share stock prices lead Shanghai A share stock prices and there is a bidirectional feedback relationship between the B shares prices in Shanghai and Shenzhen stock market before B shares were open. Finally, we find that B share prices lead A share prices in Shanghai stock market and A share prices lead B share prices in Shenzhen stock market after B shares were open. Therefore, investors in Chinese stock markets can not diversity the portfolio risks buying A- and B-shares stocks.

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