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    题名: 中國股市與美國股市之共移性
    Co-movements between Chinese and American Stock Markets
    作者: 張瑀宸
    贡献者: 郭炳伸
    林信助
    張瑀宸
    关键词: 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
    日期: 2011
    上传时间: 2012-10-30 16:03:18 (UTC+8)
    摘要: 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.
    參考文獻: 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.
    描述: 碩士
    國立政治大學
    國際經營與貿易研究所
    99351002
    100
    資料來源: http://thesis.lib.nccu.edu.tw/record/#G0099351002
    数据类型: thesis
    显示于类别:[國際經營與貿易學系 ] 學位論文

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