中國大陸與台灣產業的股價關聯之研究－以塑化產業為例

A Study on the Stock Returns Interdependence of Industries between Mainland China and Taiwan-The Case of Plastics and Chemicals Industries

10.6735/JAFD.201503_8(1).0005

陳立斌(Hon-Chi Tsai)；蔡弘智(Li-Ping Chen)

股價關聯 ； 因果關係檢定 ； 預測誤差變異數分解 ； Stock Market Interrelation ； Granger Causality Test ； Forecast Error Variance Decomposition

會計與財金研究

8卷1期（2015 / 03 / 01）

75 - 94

繁體中文

本研究探討兩岸主要貿易往來產業之股價關聯性，藉以了解納入兩岸股市標的之投資組合的分散風險效果，並以塑化產業為探討對象。研究期間區分為全球金融危機期間前、後二階段，並於第二階段再區分出中國實施經濟刺激方案的子期間以討論其對股價關聯之影響。本研究採共整合檢定、因果關係檢定及預測誤差變異數分解等分析進行探討。發現兩岸塑化產業股價在金融危機期間的前、後二階段皆有短期因果關聯且相互影響程度逐漸提升。此外，在中國實施經濟刺激方案的子期間，關聯程度有明顯提升，可推論係因該期間台灣對中國出口貿易依賴程度提升所致。本研究除發現貿易往來可能為促進兩岸產業股價關聯程度提升的主因外，亦發現2005 年之後，中國在產業股價指數的層面上，與香港以外的股市開始有連動關係，這是文獻中新的發現。

This paper investigates whether interdependence in industrial stock index returns between Mainland China and Taiwan has strengthened to see if the diversification benefit of investment portfolio consisting of stocks in China and Taiwan has decreased. The plastics and chemicals industries are specifically examined in the paper. The whole sample period is divided into pre-crisis and post-crisis period after excluding the 2008 global financial crisis period. Stock price interrelation during 2009/6/1 to 2010/12/31 is specifically examined, in which China had implemented an economic stimulus program of 4-trillion yuan. Analyses including cointegration test, Granger causality test and forecast error variance decomposition are conducted for each period. It is found that short-term industrial stock returns interrelation is increasing. It is also found in the sub-period in which China implemented the stimulus program that the degree of stock returns interrelation is even higher than that in the longer second stage, implying that economic and trade relation between China and Taiwan during the period was especially close. It can therefore be inferred that Taiwan's trade dependence on Mainland China might enhance the stock returns interrelation between the two stock markets. Lastly, a result new to the literature is that the Chinese stock market began to influence stock market other that Hong Kong market after 2005, especially in the industry level.

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