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    Please use this identifier to cite or link to this item: https://nccur.lib.nccu.edu.tw/handle/140.119/101082


    Title: 「滬港通」前後A股、H股折溢價關係及價格傳遞分析
    The Comovement of the Chinese A and H Shares before and after “Shanghai-Hong Kong Stock Connect”
    Authors: 譚智中
    Contributors: 朱浩民
    譚智中
    Keywords: 因果關係
    共整合
    滬港通
    A股
    H股
    門檻向量誤差修正模型
    Granger test
    cointergration
    Shanghai-Hong Kong Stock Connect
    A shares
    H shares
    TVECM
    M-TVECM
    Date: 2016
    Issue Date: 2016-09-01 23:46:53 (UTC+8)
    Abstract: 本論文主要探討滬港通政策的開放，對中國於上海證交所、香港聯交所兩地雙重上市公司之A股、H股的股價資訊傳遞效果及股價折溢價關係之影響。
    研究資料為中國雙重上市公司自2010年1月1日至2015年6月1日之股價日資料，透過Engle-Granger線性共整合檢定及TAR、M-TAR非線性共整合檢定，檢定雙重上市公司股價之共整合效果。採用向量自我回歸模型 (Vector Autoregression, VAR )、向量誤差修正模型(Vector Error Correcting Model)、門檻向量誤差修正模型(Threshold Vector Error Correcting Model)、動量門檻向量誤差修正模型(Momentum Vector Error Correcting Model)來配適資料並做因果關係檢定。最後根據統計學概念做A股、H股折溢價分析。主要結果如下：1.滬港通的開放，使得有共整合效果的雙重上市公司家數下降。2.整體研究期間，在所有研究雙重上市公司中，H股價格資訊領先A股價格資訊的比率較高。3. 滬港通開放後，A股、H股的折溢價關係由開放前的收斂再度被拉大。
    This paper focuses on the change of the comovement, leading effect, and price premium between A and H shares of dual-listed Chinese company after Shanghai-Hong Kong Stock Connect.
    The research data are the daily data of the dual-listed Chinese companies’ stock prices. In order to understand the effect caused by Shanghai-Hong Kong Stock Connect more about the comovement of A and H shares, we use linear Engle-Granger cointegration test and the non-linear cointegration test, TAR and M-TAR, to analyze the dual-listed company stock price comovement. After that, we fit the data with model Vector Autoregression, VAR, Vector Error Correcting Model, Threshold Vector Error Correcting Model, and Momentum Vector Error Correcting Model to explore the lead-lag effect between A and H shares. Finally, we use statistic method to analyze the price premium of the dual-listed company stock. The main results are as follows: 1) The number of the company with cointergration has decreased after the launch of Shanghai-Hong Kong Stock Connect. 2) More H shares lead A shares than A shares lead H shares in our research period. 3) After Shanghai-Hong Kong Stock Connect, the premium of A shares compared to H shares has been widen.
    Reference: 1. 安娜琳(2007)， A 股和 H 股互動關係研究，政治大學金融研究所學位論文。
    2. 沈中華、陳建福(2003)，「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」，財務金融學刊，11卷，3期，89-119。
    3. 余津嫺(2006)，大陸A股與香港H股門檻共整合關係之實證研究，東華大學國際經濟研究所學位論文。
    4. 邱振祥(2010)，中國 A 股與香港 H 股之折溢價實證分析，臺灣大學國際企業管理組學位論文。
    5. 袁敏真(2008)，中國大陸 A 股與 H 股價差之研究，政治大學金融研究所學位論文。
    6. 陳建福、楊琇閔、陳佩韋(2011)，「中國大陸股票市場是整合或是區隔？A股與B股雙重上市公司的實證」，證券市場發展季刊, 23(4), 183-218。
    7. 陳建福、劉世偉(2009)，「中國大陸 A 股與 B 股雙重掛牌公司股價互動與價差原因之研究: B 股開放政策前後的比較」，財務金融學刊，17卷，2期，139-162。
    8. 陳國芬(2005)，大陸A股與香港H股溢折價關係之實證研究，國立東華大學國際經濟研究所碩士論文。
    9. 陳慧君(2008），中國A股與香港H股是整合或是區隔？結構改變共整合模型的應用，國立東華大學國際經濟研究所碩士論文。
    10. 黃志偉(2007) ，中國大陸A股與香港H股股價的傳遞效果:多變量GARCH-DCC模型的應用，國立東華大學國際經濟研究所碩士論文。
    11. 黃敏助(2014)，「滬港通對臺灣證券市場的影響」，證卷公會季刊，3期，34-37。
    12. 趙翼(2015)，「滬港通交易實務解析」，貨幣觀測與信用評等，111期，45-51。
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    14. Chen, G. M., Lee, B. S. and O. Rui (2001), “Foreign Ownership Restrictions and Market Segmentation in China`s Stock Markets,” Journal of Financial Research, 24(1), 133-155.
    15. Chiu, C. L., Lee, M. and C. D. Chen (2005), “Removal of an Investment Restriction: the ‘B’Share Experience from China`s Stock Markets,” Applied Financial Economics, 15(4), 273-285.
    16. Cai, C. X., McGuinness, P. B. and Q. Zhang (2011), “The Pricing Dynamics of
    Cross-Listed Securities: the Case of Chinese A-and H-Shares,” Journal of Banking& Finance, 35(8), 2123-2136.
    17. Enders, W. and C. W. J. Granger (1998), “Unit-Root Tests and Asymmetric Adjustment with an Example Using the Term Structure of Interest Rates,”Journal of Business & Economic Statistics, 16(3), 304-311.
    18. _________ and P. L. Siklos (2001), “Co-Integration and Threshold Adjustment,” Journal of Business & Economic Statistics, 19(2), 166-176.
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    20. Li, Y., Yan, D. and J.Greco(2006), “Market Segmentation and Price Differentials Between A Shares and H Shares in the Chinese Stock Markets,” Journal of Multinational Financial Management, 16(3), 232-248.
    21. Siklos, P. L. and C. W. Granger, (1997), “Regime-Sensitive Cointegration with an Application to Interest-Rate Parity,” Macroeconomic Dynamics, 1(03), 640-657.
    22. Tian, G. G.and G. Wan (2004), “Interaction among China-Related Stocks: Evidence from a Causality Test with a New Procedure,” Applied Financial Economics, 14(1), 67-72.
    23. Wang, S. S. and L. Jiang (2004), “Location of Trade, Ownership Restrictions, and Market Illiquidity: Examining Chinese A-and H-Shares,” Journal of Banking & Finance, 28(6), 1273-1297.
    Description: 碩士
    國立政治大學
    金融研究所
    102352025
    Source URI: http://thesis.lib.nccu.edu.tw/record/#G0102352025
    Data Type: thesis
    Appears in Collections:[Department of Money and Banking] Theses

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