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    Please use this identifier to cite or link to this item: https://nccur.lib.nccu.edu.tw/handle/140.119/55093


    Title: 中國股市與美國股市之共移性
    Co-movements between Chinese and American Stock Markets
    Authors: 張瑀宸
    Contributors: 郭炳伸
    林信助

    張瑀宸
    Keywords: 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
    Date: 2011
    Issue Date: 2012-10-30 16:03:18 (UTC+8)
    Abstract: 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 their
    NYSE-traded ADRs and an industry-matched portfolio of American stocks between
    2005 and 2010. The results show that Chinese stock market is linked to American stock
    market through di erent sources and magnitudes of shocks. The analysis, based on the
    two-stage latent variables regression, further indicates that the market correlations be-
    tween China and the U.S. mostly come from competitive shocks. However, competitive
    shocks of the Yuan/Dollar foreign exchange rate and Treasury bill returns have lagged
    e ects on the markets. The classi cations of shocks into competitive and global ones
    suggest a ner information for international risk diversi cation.
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    Description: 碩士
    國立政治大學
    國際經營與貿易研究所
    99351002
    100
    Source URI: http://thesis.lib.nccu.edu.tw/record/#G0099351002
    Data Type: thesis
    Appears in Collections:[國際經營與貿易學系 ] 學位論文

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