政大機構典藏-National Chengchi University Institutional Repository(NCCUR):Item 140.119/55093

政大機構典藏-National Chengchi University Institutional Repository(NCCUR):Item 140.119/55093

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政大典藏 > College of Commerce > Department of International Business > Theses > Item 140.119/55093

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.
Reference:	Becker, K. G., J. E. Finnerty, and A. L. Tucker (1992): “The Intraday Interdependence Structure between U.S. and Japanese Equity Markets,” Journal of Financial Research, 15(1), 27–37. Bekaert, G., and C. R. Harvey (2003): “Market Integration and Contagion,” Working Paper 9510, National Bureau of Economic Research. Chui, A. C. W., and C. C. Y. Kwok (1998): “Cross-Autocorrelation between A Shares and B Shares in the Chinese Stock Market,” Journal of Financial Research, 21(3), 333–53. Goetzmann, W. N., L. Li, and K. G. Rouwenhorst (2001): “Long-Term Global Market Correlations,” NBER Working Papers 8612, National Bureau of Economic Research, Inc. Hamao, Y., R. W. Masulis, and V. Ng (1990): “Correlations in Price Changes and Volatility across International Stock Markets,” Review of Financial Studies, 3(2), 281–307. Huang, B.-N., C.-W. Yang, and J. W.-S. Hu (2000): “Causality and cointegration of stock markets among the United States, Japan and the South China Growth Triangle,” International Review of Financial Analysis, 9(3), 281 – 297. Johnson, R., and L. Soenen (2002): “Asian Economic Integration and Stock Market Comovement,” Journal of Financial Research, 25(1), 141–157. Kang, J., M.-H. Liu, and S. X. Ni (2002): “Contrarian and momentum strategies in the China stock market: 1993-2000,” Paci c-Basin Finance Journal, 10(3), 243–265. Karolyi, G. A., and R. M. Stulz (1996): “Why Do Markets Move Together? An Investigation of U.S.-Japan Stock Return Comovements,” Journal of Fi- nance, 51(3), 951–86. MacKinlay, A., and K. Ramaswamy (1988): “Index-futures arbitrage and the behavior of stock index futures prices,” Review of Financial Studies, 1(2), 137–158. Pindyck, R. S., and J. J. Rotemberg (1990): “The Excess Co-movement of Commodity Prices,” Economic Journal, 100(403), 1173–89. Ripley, D. M. (1973): “Systematic Elements in the Linkage of National Stock Market Indices,” The Review of Economics and Statistics, 55(3), 356–61. Shih, M.-L., S.-H. Hsiao, and F.-S. Chen (2007): “The Association of Stock Index among the market of China, US., and Japan,” Convergence Information Technology, International Conference on, 0, 2276–2285. Theodossiou, P., and U. Lee (1993): “Mean and Volatility Spillovers across Major National Stock Markets: Further Empirical Evidence,” Journal of Finan- cial Research, 16(4), 337–50.
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:	[Department of International Business] Theses

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