滬港通開通對兩岸三地股價與關聯性影響研究

The influence of Shanghai-Hong Kong Stock Connect to the stock price and Cointegration of Chinese circle

10.6846/TKU.2016.00504

汪拓冰

滬港通 ； 事件研究法 ； 股市關聯性 ； 單根檢定 ； 誤差修正模型（VECM） ； 脈衝相應 ； 上海 ； 深圳 ； 臺灣 ； 香港 ； Shanghai-Hong Kong Stock Connect ； Event Study ； correlation anlysis of stock market ； unit boot test ； vector error correction model ； impulse response anlysis ； Shanghai ； Shenzhen ； Hong Kong ； Taiwan

淡江大學財務金融學系碩士班學位論文

2016年

碩士

段昌文

繁體中文

本文選取滬港通各股指數並台灣證交所為對照組進行事件研究，觀察是否存在異常報酬率,再對其交易量和交易金額進行對比；再選取上海A股指數，深圳指數，香港恒生指數和臺灣加權指數的報酬率，進行關聯性分析；經實證分析，本研究歸納結論如下： 一、通過對異常報酬率的分析我們發現，滬港通對上海股市股價的影響非常明顯；香港股市股價變化相較並不顯著。通過對累計異常報酬率的分析我們發現在設定的事件視窗內沒有出現回落，因此滬港通對上海A股市場以及香港股市的影響還將持續。然後通過對成交量的分析，我們發現相對於台灣股市，上海A股市場的交易規模呈現明顯擴張，而香港股市沒有明顯的提升。 二、關聯性分析中，首先單根檢驗結果表明，所有的序列在顯著水準為1％時，拒絕原始序列有單根的零假設。各地股價指數報酬率均不存在單根現象，因此不需要共整合檢驗。VECM分析發現上海A股指數，深圳A股指數，香港恒生指數和臺灣加權指數的報酬率在短期偏離均衡時，仍可經由誤差修正項的調整而回到長期均衡關系。利用脈沖響應分析顯示各地股市在面對於來自自身股市幹擾項的反映各有不同，各地股市於反映期間內有持續性的反映形態。

This paper uses Event Study to find out if the Shanghai-Hong Kong Stock Connect cases the abnormal return of Shanghai and Hong Kong stock market relating to Taiwan stock market; Comparing the volume and amount of between Shanghai and Hong Kong Stock, which relating to Taiwan stock market, to find out if the event influence the transaction scale.Then we analyzed the correlation between returns of Shanghai, Shenzhen, Taiwan and Hong Kong stock market. As a result: 1st: By the analysis of abnormal return, we find that the Shanghai-Hong Kong Stock Connect shows the great influence to stock price of Shanghai stock market, while the influence to the Hong Kong stock fail to be evident.By the analysis of cumulative abnormal return, we find that cumulative abnormal return keeps rising, which means influences is longer than our event window. By the analysis of volume and amount of transaction, we find great influence of the event to volume and amount of transaction of Shanghai stock market, while few to Hong Kong. 2ed: In correlation analysis, the unit boot test shows that every order is significance in 1% level, reject null hypothesis, unit boot is not exist in every order, so Co-integration test is not available. By VECM analysis, we find that the returns of Shanghai, Shenzhen, Taiwan and Hong Kong stock market deviated from its equilibrium in short-term, still can be adjusted through the error correction term and back to the long-term equilibrium relationship. By Impulse response analysis, every stock market shows different influence by interference of itself. Every stock market shows consistently reflect form during the period of reflection.

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